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A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models

Gallant, A. Ronald; White, Halbert

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ISBN 10: 0631157654 / ISBN 13: 9780631157656
Published by Basil Blackwell, 1988
Used Condition: Fair Hardcover
From Premium Classics (Chemung, NY, U.S.A.)

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Former library copy with associated markings. Fair+ condition. COVER (no jacket)- ink-smudges on label, otherwise clean; minor dents on edges, other minor wear. PAGES- paper-clip indentations on Contents page, other minor bends, no tears; ink-smudges inside front/back, interior has occasional minor stains, clean overall; no text-markings, no notes. 150+ pgs. Bookseller Inventory # 009915

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Bibliographic Details

Title: A Unified Theory of Estimation and Inference...

Publisher: Basil Blackwell

Publication Date: 1988

Binding: Hardcover

Book Condition:Fair

Book Type: Book

About this title


Building on the great advances that have been made by statisticians and econometricians in the last 40 years, this study presents a unified theory of estimation and inference applicable to a variety of econometric estimators of the parameters of time-dependant heterogenous economic phenomena. The authors begin with a discussion of the underlying data generation processes, establishing the existence and consistency of the estimators of interest (including maximum likelihood method of moments, and m-estimators), under general conditions. They then move on to examine the property of near epoch dependence, the asymptotic normality of the estimators, and consistent estimators for the asymptotic covariance matrix. The book concludes with a presentation of the unified theory of inference and a consideration of directions for further research. The book should be of interest to researchers in economic and econometric theory and statistical modelling.

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