Dynamic Nonlinear Econometric Models Asymptotic Theory

Dynamic Nonlinear Econometric Models Asymptotic Theory / by Benedikt M. Pötscher, Ingmar R. Prucha.

Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy­ namic nonlinear models. This advance was accompanied by improvements in comp...

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Bibliographic Details
Main Authors: Pötscher, Benedikt M. (Author), Prucha, Ingmar R. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1997.
Edition:1st ed. 1997.
Series:Springer eBook Collection.
Subjects:
Econometrics.
Statistics .
Economic theory.
Game theory.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 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.

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