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Econometric Theory By James Davidson

Econometric Theory
by James Davidson

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* Covers time series modelling in detail* Discusses recent advances in estimation and testing theory, cointegration and unit roots* Presents unique treatment of modern asymptotic theory for time series* Incorporates material from lectures given at London School of Economics. .
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Econometric Theory Summary


Econometric Theory by James Davidson

This book surveys recent developments in the rapidly expanding field of asymptotic distribution theory, placing special emphasis on the problems of time--dependence and heterogeneity. It is technically self--contained, with all but the most basic mathematical prerequisites being explained in their context.

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Econometric Theory Reviews


"Davidsona s book is a well--written introduction to the state of the art in econometric theory. It will be useful both as a text for advanced econometrics courses and as a reference source for econometricians. It provides a thorough treatment of the asymptotic analysis of the linear regression model, time series models, nonlinear optimization estimators, unit roots, and cointegration." Bruce E. Hansen, University of Wisconsin--Madison "The systematic use of the conditional expectation approach to modelling throughout the text will provide readers with many useful insights. It is a very good and thought--provoking book. Much can be learnt from it, even by a experts.a Leonard Gill, University of Manchester "The book is stong on linear dynamic modelling of time series and has an excellent coverage of recent developments in econometrics for non--stationery time series. Cointegration theory is given a comprehensive and clear treatment, including an exposition of the underlying probability background -- stockastic processes on function spaces, Brownian motion and so on -- which I found to enhance understanding considerably. This will be a useful book, particularly to those teaching advanced courses in time--series econometrics. Overall, it is a fine and well--written piece of work. Times Higher Education Supplement

About James Davidson


James Davidson is Professor of Econometrics at Cardiff University. Contributor and referee for a number of leading research journals, Davidson is the author of Stochastic Limit Theory (1994). With an MSc in Econometrics and Mathematical Economics from the London School of Economics, he has taught at the University of Warwick, the London School of Economics, the University of California--San Diego, and the University of Wales, Aberystwyth.

Table of Contents


Figures. Symbols and Abbreviations. Preface. Part I: Basic Regression Theory. 1. The Linear Regression Model. 2. Statistical Analysis of the Regression Model. 3. Asymptotic Analysis of the Regression Model. Part II: Dynamic Regression Theory. 4. Modelling Economic Time Series. 5. Principles of Dynamic Modelling. 6. Asymptotics for Dynamic Models. 7. Estimation and Testing. 8. Simultaneous Equations. Part III: Advanced Estimation Theory. 9. Optimization Estimators I: Theory. 10. Optimization Estimators II: Examples. 11. The Method of Maximum Likelihood. 12. Testing Hypotheses. 13. System Estimation. Part IV: Cointegration Theory. 14. Unit Roots. 15. Cointegrating Regression. 16. Cointegrated Systems. Part V: Technical Appendices. A. Matrix Algebra Basics. B. Probability and Distribution Theory. C. The Gaussian Distribution and Its Relatives. References. Author Index. Subject Index.

Additional information

GOR007204447
Econometric Theory by James Davidson
James Davidson
Used - Very Good
Paperback
John Wiley and Sons Ltd
2000-01-14
528
0631215840
9780631215844
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us.