Asymptotic theory for econometricians by Halbert White

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

Asymptotic Theory in Probability and Statistics with Applications Edited by. Abstract: This paper advances the theory and methodology of signal extraction by introducing asymptotic and finite sample formulas for optimal estimators of signals in nonstationary multivariate time series. Does anyone know of any excellent textbooks on asymptotic theory in econometrics/statistics? With frequentist asymptotic theory, we can write down a likelihood function but only believe aspects of it. Under various assumptions, the resulting Journal of Applied Econometrics 6, no. "[T]here are several aspects of the quantitative approach to economics, and no single one of these aspects, taken by itself, should be confounded with econometrics. Klein: Theoretical Reflections and Econometric Applications (Econometrics in the Information Age - Theory and Practice of Measurement. Klein: Theoretical Reflections and. Advanced Lectures in Mathematics, Vol. However, in current practice and research, econometricians, macroeconomists, and policy-makers often combine related series - that may have stochastic trends--to attain more informed assessments of basic signals like underlying inflation and business cycle components. Thus Asymptotic Theory for Least Squares 7.