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Dynamic Nonlinear Econometric Models - Ingmar Prucha
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Ingmar Prucha:

Dynamic Nonlinear Econometric Models - gebunden oder broschiert

ISBN: 9783540628576

ID: 9783540628576

Asymptotic Theory 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 computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails. Dynamic Nonlinear Econometric Models: 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 computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men tioned articles a number of then new results. One example is a consis tency result for the case where the identifiable uniqueness condition fails. Mathematik / Wirtschafts- u. Sozialwissenschaften Ökonometrie Spieltheorie Spieltheorie (mathematisch) Statistik Statistik / Wirtschaftsstatistik Wirtschaftsstatistik, Springer

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Dynamic Nonlinear Econometric Models - Ingmar R. Prucha
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Dynamic Nonlinear Econometric Models - neues Buch

1997, ISBN: 3540628576

ID: 9814576722

[EAN: 9783540628576], Neubuch, [PU: Springer Jul 1997], MATHEMATIK / WIRTSCHAFTS- U. SOZIALWISSENSCHAFTEN; ÖKONOMETRIE; SPIELTHEORIE; SPIELTHEORIE (MATHEMATISCH); STATISTIK; STATISTIK WIRTSCHAFTSSTATISTIK; WIRTSCHAFTSSTATISTIK, This item is printed on demand - Print on Demand Titel. - 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. TOC: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. 328 pp. Englisch

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Dynamic Nonlinear Econometric Models - Ingmar Prucha#Benedikt M. Pötscher
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Ingmar Prucha#Benedikt M. Pötscher:
Dynamic Nonlinear Econometric Models - neues Buch

ISBN: 9783540628576

ID: c26bd651b36480ae514f331722f75fbb

Asymptotic Theory 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 computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ­ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men­ tioned articles a number of then new results. One example is a consis­ tency result for the case where the identifiable uniqueness condition fails. Bücher / Fremdsprachige Bücher / Englische Bücher 978-3-540-62857-6, Springer

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Dynamic Nonlinear Econometric Models - Ingmar Prucha#Benedikt M. Pötscher
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Ingmar Prucha#Benedikt M. Pötscher:
Dynamic Nonlinear Econometric Models - neues Buch

ISBN: 9783540628576

ID: 183643065

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 computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ­ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men­ tioned articles a number of then new results. One example is a consis­ tency result for the case where the identifiable uniqueness condition fails. Asymptotic Theory Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, Springer

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Dynamic Nonlinear Econometric Models - Benedikt M Pötscher; Ingmar Prucha
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Benedikt M Pötscher; Ingmar Prucha:
Dynamic Nonlinear Econometric Models - gebunden oder broschiert

1997, ISBN: 9783540628576

ID: 394978

Asymptotic Theory, 1997, Hardcover, Buch, [PU: Springer Berlin]

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Dynamic Nonlinear Econometric Models
Autor:

Pötscher, Benedikt M.; Prucha, Ingmar R.

Titel:

Dynamic Nonlinear Econometric Models

ISBN-Nummer:

9783540628576

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.

Detailangaben zum Buch - Dynamic Nonlinear Econometric Models


EAN (ISBN-13): 9783540628576
ISBN (ISBN-10): 3540628576
Gebundene Ausgabe
Erscheinungsjahr: 2007
Herausgeber: Springer-Verlag GmbH
328 Seiten
Gewicht: 0,649 kg
Sprache: eng/Englisch

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Buch zuletzt gefunden am 10.05.2016 23:14:22
ISBN/EAN: 9783540628576

ISBN - alternative Schreibweisen:
3-540-62857-6, 978-3-540-62857-6

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