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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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
1997.
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| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- 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.