Econometric Theory
1. Auflage Januar 2000
528 Seiten, Softcover
Wiley & Sons Ltd
ISBN:
978-0-631-21584-4
John Wiley & Sons
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.
Figures xv
Symbols and Abbreviations xvi
Preface xx
Part I: Basic Regression Theory 1
1. The Linear Regression Model 3
2. Statistical Analysis of the Regression Model 17
3. Asymptotic Analysis of the Regression Model 37
Part II: Dynamic Regression Theory 57
4. Modelling Economic Time Series 59
5. Principles of Dynamic Modelling 84
6. Asymptotics for Dynamic Models 119
7. Estimation and Testing 140
8. Simultaneous Equations 172
Part III: Advanced Estimation Theory 197
9. Optimization Estimators I: Theor 199
10. Optimization Estimators II: Examples 234
11. The Method of Maximum Likelihood 262
12. Testing Hypotheses 283
13. System Estimation 308
Part IV: Cointegration Theory 335
14. Unit Roots 337
15. Cointegrating Regression 360
16. Cointegrated Systems 388
Part V: Technical Appendices 427
A. Matrix Algebra Basics 429
B. Probability and Distribution Theory 441
C. The Gaussian Distribution and Its Relatives 461
References 469
Author Index 485
Subject Index 489
Symbols and Abbreviations xvi
Preface xx
Part I: Basic Regression Theory 1
1. The Linear Regression Model 3
2. Statistical Analysis of the Regression Model 17
3. Asymptotic Analysis of the Regression Model 37
Part II: Dynamic Regression Theory 57
4. Modelling Economic Time Series 59
5. Principles of Dynamic Modelling 84
6. Asymptotics for Dynamic Models 119
7. Estimation and Testing 140
8. Simultaneous Equations 172
Part III: Advanced Estimation Theory 197
9. Optimization Estimators I: Theor 199
10. Optimization Estimators II: Examples 234
11. The Method of Maximum Likelihood 262
12. Testing Hypotheses 283
13. System Estimation 308
Part IV: Cointegration Theory 335
14. Unit Roots 337
15. Cointegrating Regression 360
16. Cointegrated Systems 388
Part V: Technical Appendices 427
A. Matrix Algebra Basics 429
B. Probability and Distribution Theory 441
C. The Gaussian Distribution and Its Relatives 461
References 469
Author Index 485
Subject Index 489
"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."
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 'experts.' 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
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 'experts.' 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
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.