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Dynamic Nonlinear Econometric Models: Asymptotic Theory (Hardback)
  • Dynamic Nonlinear Econometric Models: Asymptotic Theory (Hardback)

Dynamic Nonlinear Econometric Models: Asymptotic Theory (Hardback)

(author), (author)
Hardback 312 Pages / Published: 17/07/1997
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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., Poetscher 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.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783540628576
Number of pages: 312
Weight: 1410 g
Dimensions: 235 x 155 x 19 mm
Edition: 1997 ed.

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