Econometric Theory

€ 57,99
Lieferbar innert 2 Wochen
Januar 2000



* Covers time series modelling in detail* Discusses recent advances in estimation and testing theory, cointegration and unit roots* Presents unique treatment of modern asymptotic theory for time series* Incorporates material from lectures given at London School of Economics. .


Figures. Symbols and Abbreviations. Preface. Part I: Basic Regression Theory. 1. The Linear Regression Model. 2. Statistical Analysis of the Regression Model. 3. Asymptotic Analysis of the Regression Model. Part II: Dynamic Regression Theory. 4. Modelling Economic Time Series. 5. Principles of Dynamic Modelling. 6. Asymptotics for Dynamic Models. 7. Estimation and Testing. 8. Simultaneous Equations. Part III: Advanced Estimation Theory. 9. Optimization Estimators I: Theory. 10. Optimization Estimators II: Examples. 11. The Method of Maximum Likelihood. 12. Testing Hypotheses. 13. System Estimation. Part IV: Cointegration Theory. 14. Unit Roots. 15. Cointegrating Regression. 16. Cointegrated Systems. Part V: Technical Appendices. A. Matrix Algebra Basics. B. Probability and Distribution Theory. C. The Gaussian Distribution and Its Relatives. References. Author Index. Subject Index.


James Davidson is Professor of Econometrics at Cardiff University. Contributor and referee for a number of leading research journals, Davidson is the author of Stochastic Limit Theory (1994). With an MSc in Econometrics and Mathematical Economics from the London School of Economics, he has taught at the University of Warwick, the London School of Economics, the University of California--San Diego, and the University of Wales, Aberystwyth.


"Davidsona s book is a well--written introduction to the state of the art in econometric theory. It will be useful both as a text for advanced econometrics courses and as a reference source for econometricians. It provides a thorough treatment of the asymptotic analysis of the linear regression model, time series models, nonlinear optimization estimators, unit roots, and cointegration." Bruce E. Hansen, University of Wisconsin--Madison "The systematic use of the conditional expectation approach to modelling throughout the text will provide readers with many useful insights. It is a very good and thought--provoking book. Much can be learnt from it, even by a experts.a Leonard Gill, University of Manchester "The book is stong on linear dynamic modelling of time series and has an excellent coverage of recent developments in econometrics for non--stationery time series. Cointegration theory is given a comprehensive and clear treatment, including an exposition of the underlying probability background -- stockastic processes on function spaces, Brownian motion and so on -- which I found to enhance understanding considerably. This will be a useful book, particularly to those teaching advanced courses in time--series econometrics. Overall, it is a fine and well--written piece of work. Times Higher Education Supplement
EAN: 9780631215844
ISBN: 0631215840
Untertitel: 12 Abbildungen. Sprache: Englisch.
Verlag: John Wiley and Sons Ltd
Erscheinungsdatum: Januar 2000
Seitenanzahl: 528 Seiten
Format: kartoniert
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