Dynamic Nonlinear Econometric Models : Asymptotic Theory

by Benedikt M. Pötscher, Ingmar R. Prucha

The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dynamic nonlinear models. The class of M-estimators contains least mean distance estimators (including maximum likelihood estimators) and generalized method of moments estimators. In addition to establishing the asymptotic properties of such estimators, the book provides a detailed discussion of the statistical and probabilistic tools necessary for such an analysis. The book also gives a careful treatment of estimators of asymptotic variance covariance matrices for dependent processes

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Year of publication:	1997
Authors:	Pötscher, Benedikt M.
Other Persons:	Prucha, Ingmar R. (contributor)
Publisher:	Berlin : Springer
Subject:	Schätztheorie \| Estimation theory \| Dynamische Wirtschaftstheorie \| Economic dynamics

Extent:	Online-Ressource (XI, 312 p) digital
Type of publication:	Book / Working Paper
Language:	English
Notes:	From the contents: Preface -- Introduction -- Models, Data Generating Processes, and Estimators -- Basic Structure of the Classical Consistency Proof -- Further Comments on Consistency Proofs -- Uniform Laws of Large Numbers -- Approximation Concepts and Limit Theorems -- Consistency: Catalogues of Assumptions -- Basic Structure of the Asymptotic Normality Proof -- Asymptotic Normality under Nonstandard Conditions -- Central Limit Theorems -- Asymptotic Normality: Catalogues of Assumptions -- Heteroskedasticity and Autocorrelation Robust Estimation of Variance Covariance Matrices -- Consistent Variance Covariance Matrix Estimation: Catalogues of Assumptions -- Quast Maximum Likelihood Estimation of Dynamic Nonlinear Simultaneous Systems -- Concluding Remarks -- References -- Index.
ISBN:	978-3-662-03486-6 ; 978-3-642-08309-9
Other identifiers:	10.1007/978-3-662-03486-6 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013518470