Dynamic Nonlinear Econometric Models: Asymptotic Theory

✍ Scribed by Professor Benedikt M. Pötscher, Professor Ingmar R. Prucha (auth.)

• Publisher: Springer-Verlag Berlin Heidelberg
• Year: 1997
• Tongue: English
• Leaves: 306
• Edition: 1
• Category: Library

✦ Synopsis

Many relationships in economics, and also in other fields, are both dynamic and nonlinear. A major advance in econometrics over the last fifteen years has been the development of a theory of estimation and inference for dy­ namic nonlinear models. This advance was accompanied by improvements in computer technology that facilitate the practical implementation of such estimation methods. In two articles in Econometric Reviews, i.e., Pötscher and Prucha {1991a,b), we provided -an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature up to the beginning of this decade. Among others, the class of M-estimators contains least mean distance estimators (includ­ ing maximum likelihood estimators) and generalized method of moment estimators. The present book expands and revises the discussion in those articles. It is geared towards the professional econometrician or statistician. Besides reviewing the literature we also presented in the above men­ tioned articles a number of then new results. One example is a consis­ tency result for the case where the identifiable uniqueness condition fails.

✦ Table of Contents

Front Matter....Pages i-xi
Introduction....Pages 1-7
Models, Data Generating Processes, and Estimators....Pages 9-13
Basic Structure of the Classical Consistency Proof....Pages 15-21
Further Comments on Consistency Proofs....Pages 23-35
Uniform Laws of Large Numbers....Pages 37-44
Approximation Concepts and Limit Theorems....Pages 45-77
Consistency: Catalogues of Assumptions....Pages 79-82
Basic Structure of the Asymptotic Normality Proof....Pages 83-93
Asymptotic Normality under Nonstandard Conditions....Pages 95-98
Central Limit Theorems....Pages 99-103
Asymptotic Normality: Catalogues of Assumptions....Pages 105-120
Heteroskedasticity and Autocorrelation Robust Estimation of Variance Covariance Matrices....Pages 121-136
Consistent Variance Covariance Matrix Estimation: Catalogues of Assumptions....Pages 137-143
Quasi Maximum Likelihood Estimation of Dynamic Nonlinear Simultaneous Systems....Pages 145-169
Concluding Remarks....Pages 171-173
Back Matter....Pages 175-312

✦ Subjects

Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Game Theory/Mathematical Methods; Game Theory, Economics, Social and Behav. Sciences; Economic Theory; Statistical Theory and Methods