Book

Stochastic Limit Theory

James Davidson

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI: http://dx.doi.org/10.1093/0198774036.001.0001

Series: Advanced Texts in Econometrics

Stochastic Limit Theory

Preview

This book aims to introduce modern asymptotic theory to students and practitioners of econometrics. It falls broadly into two parts. The first half provides a handbook and reference for the underlying mathematics (Part I, Chapters 1‐6), statistical theory (Part II, Chapters 7‐11) and stochastic process theory (Part III, Chapters 12‐17). The second half provides a treatment of the main convergence theorems used in analysing the large sample behaviour of econometric estimators and tests. These are the law of large numbers (Part IV, Chapters 18‐21), the central limit theorem (Part V, Chapters 22‐25) and the functional central limit theorem (Part VI, Chapters 26‐30). The focus in this treatment is on the nonparametric approach to time series properties, covering topics such as nonstationarity, mixing, martingales, and near‐epoch dependence. While the approach is not elementary, care is taken to keep the treatment self‐contained. Proofs are provided for almost all the results.

Keywords: asymptotic theory; central limit theorem; convergence theorems; econometrics; law of large numbers; statistical theory; stochastic process

Book.  562 pages.  Illustrated.

Subjects: econometrics and mathematical economics

Full text: subscription required

How to subscribeRecommend to my Librarian

Buy this work at Oxford University Press »


Table of Contents

Sets and Numbersin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Limits and Continuityin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Measurein Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Integrationin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Metric Spacesin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Topologyin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Probability Spacesin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Random Variablesin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Expectationsin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

Conditioningin Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribeRecommend to my Librarian

See all items in Oxford Index »