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Econometric Theory
by James Davidson
Binding: Paperback, 528 pages
Publisher: Wiley-Blackwell
Weight: 2.38 pound
Dimension: H: 1.34 x L: 10 x W: 7.01 inches
ISBN 10: 0631215840
ISBN 13: 9780631215844
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Book Description:
Econometric Theory 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. Based 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.

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