Dynamic Nonlinear Econometric Models : Asymptotic Theory

Dynamic Nonlinear Econometric Models : Asymptotic Theory

Editorial Reviews
Book Description
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.

Dynamic Nonlinear Econometric Models: Asymptotic Theory,Benedikt M. Pötscher,Ingmar R. Prucha,Springer,3540628576,Business & Economics,Business / Economics / Finance,Business/Economics,Econometric models,Econometrics,Economics - General,Game Theory,Linear models (Statistics),Business & Economics / Econometrics

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