Verfügbarkeit: Dynamic nonlinear econometric models | Technische Universität München

Dynamic nonlinear econometric models: asymptotic theory

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Bibliographische Detailangaben
Beteiligte Personen:	Pötscher, Benedikt M. 1955- (VerfasserIn), Prucha, Ingmar R. (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Berlin [u.a.] Springer 1997
Schlagwörter:	Asymptotische analyse Econometrische modellen Modelos econométricos Modelos lineales (Estadística) Niet-lineaire modellen Ökonometrisches Modell Econometric models Linear models (Statistics) Robustheit Nichtlineares mathematisches Modell Nichtlineares dynamisches System Asymptotische Statistik Entscheidungsmodell
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007829103&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XI, 312 S.
ISBN:	3540628576

Internformat

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Datensatz im Suchindex

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adam_text	Contents PREFACE vii 1 INTRODUCTION 1 2 MODELS, DATA GENERATING PROCESSES, AND ESTIMATORS 9 3 BASIC STRUCTURE OF THE CLASSICAL CONSISTENCY PROOF 15 4 FURTHER COMMENTS ON CONSISTENCY PROOFS 23 4.1 Transforming the Objective Function 23 4.2 Weakening the Uniform Convergence Assumption 24 4.3 Uniform Convergence and Compactness 26 4.4 Approximate M Estimators 29 4.5 Limitations: An Illustrative Example 29 4.6 Identifiable Uniqueness 31 5 UNIFORM LAWS OF LARGE NUMBERS 37 5.1 ULLNs for Dependent and Heterogeneous Processes .... 38 5.2 Further Remarks on ULLNs 43 6 APPROXIMATION CONCEPTS AND LIMIT THEOREMS 45 6.1 Dynamic Models and Mixing Processes 46 6.2 Approximation Concepts 48 6.3 Laws of Large Numbers for Lp Approximate and Near Epoch Dependent Processes 52 6.4 Preservation of Approximation Concepts under Transforma¬ tion 56 6.5 Illustrations of Local Laws of Large Numbers 72 6.6 Comparison of ULLNs for Lp Approximate and Near Epoch Dependent Processes 76 7 CONSISTENCY: CATALOGUES OF ASSUMPTIONS 79 x CONTENTS 8 BASIC STRUCTURE OF THE ASYMPTOTIC NORMALITY PROOF 83 9 ASYMPTOTIC NORMALITY UNDER NONSTANDARD CONDITIONS 95 10 CENTRAL LIMIT THEOREMS 99 10.1 A Central Limit Theorem for Martingale Differences .... 100 10.2 A Central Limit Theorem for Functions of Mixing Processes 101 11 ASYMPTOTIC NORMALITY: CATALOGUES OF ASSUMPTIONS 105 11.1 Asymptotic Normality of Least Mean Distance Estimators 107 11.2 Asymptotic Normality of Generalized Method of Moments Estimators 110 11.3 Further Discussion and Comparison of Assumptions .... 116 12 HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST ESTIMATION OF VARIANCE COVARIANCE MATRICES 121 12.1 An Outline of the Variance Covariance Matrix Estimation Problem 121 12.2 Sufficient Conditions for Consistency 124 12.3 Further Remarks 134 13 CONSISTENT VARIANCE COVARIANCE MATRIX ESTIMATION: CATALOGUES OF ASSUMPTIONS 137 13.1 Estimation of the Variance Covariance Matrix of Least Mean Distance Estimators 137 13.2 Estimation of the Variance Covariance Matrix of Generalized Method of Moments Estimators 141 14 QUASI MAXIMUM LIKELIHOOD ESTIMATION OF DYNAMIC NONLINEAR SIMULTANEOUS SYSTEMS 145 14.1 A General Consistency Result for Quasi NFIML Estimators 147 14.2 Asymptotic Results for the Quasi NFIML Estimator in Case of a Correctly Specified System 150 14.2.1 Sufficient Conditions for Lp Approximability of the Data Generating Process 150 14.2.2 Consistency 154 14.2.3 Asymptotic Normality and Variance Covariance Ma¬ trix Estimation 159 15 CONCLUDING REMARKS 171 CONTENTS xi A PROOFS FOR CHAPTER 3 175 B PROOFS FOR CHAPTER 4 183 C PROOFS FOR CHAPTER 5 187 D PROOFS FOR CHAPTER 6 193 E PROOFS FOR CHAPTER 7 225 F PROOFS FOR CHAPTER 8 227 G PROOFS FOR CHAPTER 10 235 H PROOFS FOR CHAPTER 11 239 I PROOFS FOR CHAPTER 12 249 J PROOFS FOR CHAPTER 13 259 K PROOFS FOR CHAPTER 14 263 REFERENCES 287 INDEX 305
any_adam_object	1
author	Pötscher, Benedikt M. 1955- Prucha, Ingmar R.
author_GND	(DE-588)137611773 (DE-588)170112756
author_facet	Pötscher, Benedikt M. 1955- Prucha, Ingmar R.
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dewey-ones	330 - Economics
dewey-raw	330/.01/5195 330/.01/5195 21
dewey-search	330/.01/5195 330/.01/5195 21
dewey-sort	3330 11 45195
dewey-tens	330 - Economics
discipline	Mathematik Wirtschaftswissenschaften
format	Book
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isbn	3540628576
language	English
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spellingShingle	Pötscher, Benedikt M. 1955- Prucha, Ingmar R. Dynamic nonlinear econometric models asymptotic theory Asymptotische analyse gtt Econometrische modellen gtt Modelos econométricos Modelos lineales (Estadística) Niet-lineaire modellen gtt Ökonometrisches Modell Econometric models Linear models (Statistics) Robustheit (DE-588)4126481-2 gnd Nichtlineares mathematisches Modell (DE-588)4127859-8 gnd Nichtlineares dynamisches System (DE-588)4126142-2 gnd Asymptotische Statistik (DE-588)4203167-9 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Entscheidungsmodell (DE-588)4121201-0 gnd
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title	Dynamic nonlinear econometric models asymptotic theory
title_auth	Dynamic nonlinear econometric models asymptotic theory
title_exact_search	Dynamic nonlinear econometric models asymptotic theory
title_full	Dynamic nonlinear econometric models asymptotic theory Benedikt M. Pötscher ; Ingmar R. Prucha
title_fullStr	Dynamic nonlinear econometric models asymptotic theory Benedikt M. Pötscher ; Ingmar R. Prucha
title_full_unstemmed	Dynamic nonlinear econometric models asymptotic theory Benedikt M. Pötscher ; Ingmar R. Prucha
title_short	Dynamic nonlinear econometric models
title_sort	dynamic nonlinear econometric models asymptotic theory
title_sub	asymptotic theory
topic	Asymptotische analyse gtt Econometrische modellen gtt Modelos econométricos Modelos lineales (Estadística) Niet-lineaire modellen gtt Ökonometrisches Modell Econometric models Linear models (Statistics) Robustheit (DE-588)4126481-2 gnd Nichtlineares mathematisches Modell (DE-588)4127859-8 gnd Nichtlineares dynamisches System (DE-588)4126142-2 gnd Asymptotische Statistik (DE-588)4203167-9 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Entscheidungsmodell (DE-588)4121201-0 gnd
topic_facet	Asymptotische analyse Econometrische modellen Modelos econométricos Modelos lineales (Estadística) Niet-lineaire modellen Ökonometrisches Modell Econometric models Linear models (Statistics) Robustheit Nichtlineares mathematisches Modell Nichtlineares dynamisches System Asymptotische Statistik Entscheidungsmodell
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