Benedikt M. Pötscher, Ingmar R. Prucha

Dynamic Nonlinear Econometric Models (eBook, PDF)

Asymptotic Theory

• Format: PDF

Produktbeschreibung

The book leads the reader to the frontier of research on asymptotic inference in dynamic nonlinear models.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 312
• Erscheinungstermin: 9. März 2013
• Englisch
• ISBN-13: 9783662034866
• Artikelnr.: 53382332

Autorenporträt

The book leads the reader to the frontier of research on asymptotic inference in dynamic nonlinear models.

Inhaltsangabe

1 Introduction.- 2 Models, Data Generating Processes, and Estimators.- 3 Basic Structure of the Classical Consistency Proof.- 4 Further Comments on Consistency Proofs.- 5 Uniform Laws of Large Numbers.- 6 Approximation Concepts and Limit Theorems.- 7 Consistency: Catalogues of Assumptions.- 8 Basic Structure of the Asymptotic Normality Proof.- 9 Asymptotic Normality under Nonstandard Conditions.- 10 Central Limit Theorems.- 11 Asymptotic Normality: Catalogues of Assumptions.- 12 Heteroskedasticity and Autocorrelation Robust Estimation of Variance Covariance Matrices.- 13 Consistent Variance Covariance Matrix Estimation: Catalogues of Assumptions.- 14 Quasi Maximum Likelihood Estimation of Dynamic Nonlinear Simultaneous Systems.- 15 Concluding Remarks.- A Proofs for Chapter 3.- B Proofs for Chapter 4.- C Proofs for Chapter 5.- D Proofs for Chapter 6.- E Proofs for Chapter 7.- F Proofs for Chapter 8.- G Proofs for Chapter 10.- H Proofs for Chapter 11.- I Proofs for Chapter 12.- J Proofs for Chapter 13.- K Proofs for Chapter 14.- References.