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

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

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 subscribe Recommend to my Librarian

Buy this work at Oxford University Press »


Table of Contents

Sets and Numbers in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Limits and Continuity in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Measure in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Integration in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Metric Spaces in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Topology in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Probability Spaces in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Random Variables in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Expectations in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

Conditioning in Stochastic Limit Theory

Chapter

Full text: subscription required

How to subscribe Recommend to my Librarian

See all items in Oxford Index »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.