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Asymptotic theory for econometricians by Halbert White

Asymptotic theory for econometricians Halbert White ebook
Page: 273
Publisher: AP
Format: djvu
ISBN: 0127466525, 9780127466521

It also has one of the best and more rigorous yet accessible treatments of basic asymptotic theory (the examples and countexamples in this section are uncommonly good). Hal had a host of other very fundamental contributions, ranging from the recognition that neural networks are essentially a statistical inference problem, elegant contributions to asymptotic theory, any number of extremely useful specification tests , and his most recent interest in some very deep ideas about I used to have lunch each week with Hal, Clive Granger, Rob Engle, and others, at which people would bring up econometrics questions they'd been working on. The length, breadth and dept of his contributions has long way to go. Volume I of the Palgrave Handbook of Econometrics covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modelling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics. Under various assumptions, the resulting Journal of Applied Econometrics 6, no. Christian Gourieroux, Alain Monfort, Quang Vuong , “Statistics and Econometric Models: Volume 2, Testing, Confidence Regions, Model Selection and. This recent theoretical literature has built on, and combined features of, earlier work in both the statistics and econo- metrics literatures. I'm teaching two econometrics classes this term (master's and PhD), and I just covered the parts on asymptotic theory. In the last two decades, much research has been done on the econometric and statistical analysis of the effects of such programs or treatments. For example, Stats people care way less about asymptotic theory than economists. With frequentist asymptotic theory, we can write down a likelihood function but only believe aspects of it. And even within Econ, econometricians are now more in their own separate world.