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Dynamic Nonlinear Econometric Models

Asymptotic Theory

Language EnglishEnglish
Book Paperback
Book Dynamic Nonlinear Econometric Models Benedikt M. Pötscher
Libristo code: 01653332
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, December 2010
The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dyn... Full description
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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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About the book

Full name Dynamic Nonlinear Econometric Models
Author Benedikt M. Pötscher, Ingmar R. Prucha
Language English
Binding Book - Paperback
Date of issue 2010
Number of pages 312
EAN 9783642083099
ISBN 3642083099
Libristo code 01653332
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Weight 504
Dimensions 155 x 235 x 18

Categories

Mathematics & Science > Mathematics > Optimization > Game theory
Mathematics & Science > Mathematics > Applied mathematics > Mathematical modelling
Economics, Finance, Business & Management > Economics > Economic theory & philosophy
Economics, Finance, Business & Management > Economics > Econometrics & economic statistics
Mathematics & Science > Mathematics > Probability & statistics
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