(Ebook) Asymptotic theory for econometrician Revised Edition by Halbert White ISBN 0127466525 9780127466521

(Ebook) Asymptotic theory for econometrician Revised Edition by Halbert White ISBN 0127466525 9780127466521

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ISBN 10: 0127466525
ISBN 13: 9780127466521
Author: Halbert White

Ebook Asymptotic theory for econometrician Revised Edition Table of contents:

CHAPTER I. The Linear Model and Instrumental Variables Estimators

Text

References

For Further Reading

CHAPTER II. Consistency

II.1 Limits

II.2 Almost Sure Convergence

II.3 Convergence in Probability

II.4 Convergence in rth Mean

References

CHAPTER III. Laws of Large Numbers

III.1 Independent Identically Distributed Observations

III.2 Independent Heterogeneously Distributed Observations

III.3 Dependent Identically Distributed Observations

III.4 Dependent Heterogeneously Distributed Observations

III.5 Martingale Difference Sequences

References

CHAPTER IV. Asymptotic Normality

IV.1 Convergence in Distribution

IV.2 Hypothesis Testing

IV.3 Asymptotic Efficiency

References

CHAPTER V. Central Limit Theory

V.1 Independent Identically Distributed Observations

V.2 Independent Heterogeneously Distributed Observations

V.3 Dependent Identically Distributed Observations

V.4 Dependent Heterogeneously Distributed Observations

V.5 Martingale Difference Sequences

References

CHAPTER VI. Estimating Asymptotic Covariance Matrices

VI.1 General Structure of Vn

VI.2 Case 1: Ωn (Block) Diagonal

VI.3 Case 2: Ωn (Block) Band Diagonal

VI.4 Case 3: General Case

References

CHAPTER VII. Efficient Estimation with Estimated Error Covariance Matrices

VII.1 General Results

VII.2 Case 1: Contemporaneous Covariance

VII.3 Case 2: Heteroskedasticity

VII.4 Case 3: Serial Correlation

References

CHAPTER VIII. Directions For Further Study

VIII.1 Extensions of the Linear Model

VIII.2 Nonlinear Models

VIII.3 Other Estimation Techniques

VIII.4 Model Misspecification

References

Solution Set

Index

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