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Dynamic Nonlinear Econometric Models

Name: Dynamic Nonlinear Econometric Models
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01653332
Price: 205.49 EUR
Availability: InStock
Author: Benedikt M. Pötscher
ISBN: 9783642083099

Asymptotic Theory

Benedikt M. Pötscher

Ingmar R. Prucha

Language

English

Book Paperback

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

Libristo code: 01653332

498 b

205.49 €

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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.