{"product_id":"econometric-theory-isbn-9780631215844","title":"Econometric Theory","description":"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. \u003cp\u003eFigures xv\u003c\/p\u003e \u003cp\u003eSymbols and Abbreviations xvi\u003c\/p\u003e \u003cp\u003ePreface xx\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I: Basic Regression Theory\u003c\/b\u003e\u003cb\u003e 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1. The Linear Regression Model 3\u003c\/p\u003e \u003cp\u003e2. Statistical Analysis of the Regression Model 17\u003c\/p\u003e \u003cp\u003e3. Asymptotic Analysis of the Regression Model 37\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II: Dynamic Regression Theory 57\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4. Modelling Economic Time Series 59\u003c\/p\u003e \u003cp\u003e5. Principles of Dynamic Modelling 84\u003c\/p\u003e \u003cp\u003e6. Asymptotics for Dynamic Models 119\u003c\/p\u003e \u003cp\u003e7. Estimation and Testing 140\u003c\/p\u003e \u003cp\u003e8. Simultaneous Equations 172\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III: Advanced Estimation Theory\u003c\/b\u003e\u003cb\u003e 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9. Optimization Estimators I: Theor 199\u003c\/p\u003e \u003cp\u003e10. Optimization Estimators II: Examples 234\u003c\/p\u003e \u003cp\u003e11. The Method of Maximum Likelihood 262\u003c\/p\u003e \u003cp\u003e12. Testing Hypotheses 283\u003c\/p\u003e \u003cp\u003e13. System Estimation 308\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV: Cointegration Theory\u003c\/b\u003e\u003cb\u003e 335\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14. Unit Roots 337\u003c\/p\u003e \u003cp\u003e15. Cointegrating Regression 360\u003c\/p\u003e \u003cp\u003e16. Cointegrated Systems 388\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V: Technical Appendices\u003c\/b\u003e\u003cb\u003e 427\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA. Matrix Algebra Basics 429\u003c\/p\u003e \u003cp\u003eB. Probability and Distribution Theory 441\u003c\/p\u003e \u003cp\u003eC. The Gaussian Distribution and Its Relatives 461\u003c\/p\u003e \u003cp\u003eReferences 469\u003c\/p\u003e \u003cp\u003eAuthor Index 485\u003c\/p\u003e \u003cp\u003eSubject Index 489\u003c\/p\u003e  \"Davidson'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.\" \u003ci\u003eBruce E. Hansen, University of Wisconsin-Madison\u003c\/i\u003e  \u003cp\u003e\"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 'experts.' \u003ci\u003eLeonard Gill, University of Manchester\u003c\/i\u003e\u003cbr\u003e \u003cbr\u003e \u003c\/p\u003e \u003cp\u003e\"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.\u003cbr\u003e \u003ci\u003eTimes Higher Education Supplement\u003c\/i\u003e\u003c\/p\u003e \u003cb\u003eJames Davidson\u003c\/b\u003e is Professor of Econometrics at Cardiff University. Contributor and referee for a number of leading research journals, Davidson is the author of\u003ci\u003e Stochastic Limit Theory\u003c\/i\u003e (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.  \u003ci\u003eEconometric Theory\u003c\/i\u003e presents a modern approach to the theory of econometric estimation and inference, with particular applications to time series. An ideal reference for practitioners and researchers, the book is also suited for advanced two-semester econometrics courses and one-semester regression courses. \u003cbr\u003e \u003cp\u003eBased on lectures originally given to graduates at the London School of Economics, the book applies recent developments in asymptotic theory to derive the properties of estimators when the model is only partially specified. Topics covered in depth include the linear regression model, dynamic modeling, simultaneous equations, optimization estimators, hypothesis testing, and the theory of nonstationary time series and cointegration.\u003c\/p\u003e","brand":"Wiley-Blackwell","offers":[{"title":"Default Title","offer_id":47989100839141,"sku":"NP9780631215844","price":63.5,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780631215844.jpg?v=1761782800","url":"https:\/\/k12savings.com\/es\/products\/econometric-theory-isbn-9780631215844","provider":"K12savings","version":"1.0","type":"link"}