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Asymptotic theory for econometricians by Halbert White

Asymptotic theory for econometricians Halbert White ebook
Publisher: AP
Format: djvu
ISBN: 0127466525, 9780127466521
Page: 273

For example, Stats people care way less about asymptotic theory than economists. And even within Econ, econometricians are now more in their own separate world. Stationary Time Series.- Hilbert Spaces.- Stationary ARMA Processes.- The Spectral Representation of a Stationary Process.- Prediction of Stationary Processes.- Asymptotic Theory.- Estimation of the Mean and the Autocovariance Function. Data models, the analysis of nonstationary time series, cointegration and. Volatility, and finite sample and asymptotic theories, among others. Econometrics and statistics, especially in the areas of censored models, panel (longitudinal). Prerequisites: Introduction to Econometrics (KA7). A Course in Econometrics thoroughly covers the fundamentals—classical regression and simultaneous equations—and offers clear and logical explorations of asymptotic theory and nonlinear regression. The first part (Part I) of the course concentrates on the linear regression model and the principles of statistical inference and asymptotic theory in econometrics. I'm teaching two econometrics classes this term (master's and PhD), and I just covered the parts on asymptotic theory. This collection of essays is concerned with the “limits of experiments” approach to asymptotic theory and its particular application to problems in econometric theory.