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Dynamic Nonlinear Econometric Models : Asymptotic Theory /

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 establis...

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Bibliographic Details
Main Author: Pötscher, Benedikt M.
Corporate Author: SpringerLink (Online service)
Other Authors: Prucha, Ingmar R.
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 1997.
Subjects:
Economics.
Mathematics.
Mathematical statistics.
Economics > Statistics.
Econometrics.
Economics, Mathematical.
Electronic books.
Statistics.
Online Access:Connect to the full text of this electronic book
Description
Summary: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.
Item Description:Electronic resource.
Physical Description:1 online resource (xi, 312 pages)
ISBN:9783662034866 (electronic bk.)
3662034867 (electronic bk.)