Stochastic Limit Theory: An Introduction for Econometricicans (Advanced Texts in Econometrics)
| Author | : | |
| Rating | : | 4.24 (767 Votes) |
| Asin | : | 0198774036 |
| Format Type | : | paperback |
| Number of Pages | : | 568 Pages |
| Publish Date | : | 2013-11-03 |
| Language | : | English |
DESCRIPTION:
James Davidson is at University of Wales, Aberystwyth.
In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. It also includes original new material from Davidson's own research on central limit theorems.About the SeriesAdvanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary liter
Get ready for a hard time C. Hanck Yes, I know it's a standard game of reviewers to show off by describing books as "a good introduction", implying one's capability of easily absorbing the material.I shall try to judge the book by its stated mission, viz. to be an "introduction for econometricians". In my view it isn't, the material doesn't resemble much of what you are likely to have encountered in your econometrics education. If anything it is a course in applied measure theory. I should add that I don't know how the original sources look like (e.g. Billingsley), perhaps they're ev. "Fantastic introductdory reference book" according to G. Calhoun. As another reviewer noted, there are absolutely no "real world" examples in this book. But that's not really the point. This book covers many of the theorems and techniques you would need to prove asymptotic results for time series, and I refer to it almost daily. The book would be extremely difficult for someone who hasn't taken a graduate sequence in econometrics or had similar mathematical preparation.It's the first book I look at when I want to understand the details of a concept (mixing, for example), and I wish that Davidson had included some . One-stop reading for theoretical econometricians I worked on various theoretical problems in econometrics. When I needed some theory, most of the time Davidson's book had it. Books in probabilities and statistics have too much material and examples that econometricians don't need (for example, I read Feller, Doob, and Rao). Davidson is good not only as a reference. It develops skills necessary for econometric research. It is a must for those PhD schools that claim to be centers of excellence.
This book lays the foundation for serious econometrics. Well done!"--Henry Thompson, Auburn University. Park, Assistant Professor of Economics, American University"The chapters on the law of large numbers are superb. "An excellent text."--W.G. I wish I had spent a year studying it before graduate school