Stochastic Limit Theory: An Introduction for Econometricicans: An Introduction for Econometricians (Advanced Texts in Econometrics)

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9780198774037: Stochastic Limit Theory: An Introduction for Econometricicans: An Introduction for Econometricians (Advanced Texts in Econometrics)
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Book by Davidson James

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The book is clearly written with plenty of explanation in the text as well as the liberal use of well chosen examples ... in a short book every econometrician shoudl have on their shelves. (The Economic Journal)

He provides us with a very complete book that presents all the recent mainstream results used by econometricians in the asymptotic analysis of test statistics based on time series ... Professor Davidson's book will be very useful for all the people who are looking for a detailed introduction to stochastic limit theorems as it collects almost all the mathematical notions on which relies the today classical framework used to derive these asymptotic results ... impressive work done by Professor Davidson. He provides us with a remarkable book. Properly used, it will become a reference course text. And similarly, researchers will be pleased to have it at hand on their shelves to find rapidly references, definitions or proof technics. (Economic Theory)

It is no mean achievement to combine articulately the mathematics, probability, and statistics backgrounds ... into a unified framework capable of dealing with the nonlinearities and nonstationarities commonly found in econometrics. The book is clearly written with plenty of explanation in the text as well as the liberal use of well chosen examples ... a book every econometrician should have on their shelves. (The Economic Journal)

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This is a survey of the recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity.

The book is designed to be useful on two levels. First as a textbook and reference work, giving definitions of the relevant mathematical concepts, statements, and proofs of the important results from the probability literature, and numerous examples; and second, as an account of recent work in the field of particular interest to econometricians, including a number of important new results. It is virtually self-contained, with all but the most basic technical prerequisites being explained in their context; mathematical topics include measure theory, integration, metric spaces, and topology, with applications to random variables, and an extended treatment of conditional probability. Other subjects treated include: stochastic processes, mixing processes, martingales, mixingales, and near-epoch dependence; the weak and strong laws of large numbers; weak convergence; and central limit theorems for nonstationary and dependent processes. The functional central limit theorem and its ramifications are covered in detail, including an account of the theoretical underpinnings (the weak convergence of measures on metric spaces), Brownian motion, the multivariate invariance principle, and convergence to stochastic integrals. This material is of special relevance to the theory of cointegration.

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9780198774020: Stochastic Limit Theory: An Introduction for Econometricians (Advanced Texts in Econometrics)

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ISBN 10:  0198774028 ISBN 13:  9780198774020
Editorial: Oxford University Press, 1994
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James Davidson
Publicado por Oxford University Press, United Kingdom (1994)
ISBN 10: 0198774036 ISBN 13: 9780198774037
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Descripción Oxford University Press, United Kingdom, 1994. Paperback. Condición: New. Language: English . Brand New Book ***** Print on Demand *****.This is a survey of the recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. The book is designed to be useful on two levels. First as a textbook and reference work, giving definitions of the relevant mathematical concepts, statements, and proofs of the important results from the probability literature, and numerous examples; and second, as an account of recent work in the field of particular interest to econometricians, including a number of important new results. It is virtually self-contained, with all but the most basic technical prerequisites being explained in their context; mathematical topics include measure theory, integration, metric spaces, and topology, with applications to random variables, and an extended treatment of conditional probability. Other subjects treated include: stochastic processes, mixing processes, martingales, mixingales, and near-epoch dependence; the weak and strong laws of large numbers; weak convergence; and central limit theorems for nonstationary and dependent processes. The functional central limit theorem and its ramifications are covered in detail, including an account of the theoretical underpinnings (the weak convergence of measures on metric spaces), Brownian motion, the multivariate invariance principle, and convergence to stochastic integrals. This material is of special relevance to the theory of cointegration. Nº de ref. del artículo: AAV9780198774037

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Davidson, James
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Descripción OUP Oxford, 1994. PAP. Condición: New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: IQ-9780198774037

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James Davidson
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Descripción Oxford University Press, United Kingdom, 1994. Paperback. Condición: New. Language: English. Brand new Book. This is a survey of the recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. The book is designed to be useful on two levels. First as a textbook and reference work, giving definitions of the relevant mathematical concepts, statements, and proofs of the important results from the probability literature, and numerous examples; and second, as an account of recent work in the field of particular interest to econometricians, including a number of important new results. It is virtually self-contained, with all but the most basic technical prerequisites being explained intheir context; mathematical topics include measure theory, integration, metric spaces, and topology, with applications to random variables, and an extended treatment of conditional probability. Other subjects treated include: stochastic processes, mixing processes, martingales, mixingales, andnear-epoch dependence; the weak and strong laws of large numbers; weak convergence; and central limit theorems for nonstationary and dependent processes. The functional central limit theorem and its ramifications are covered in detail, including an account of the theoretical underpinnings (the weak convergence of measures on metric spaces), Brownian motion, the multivariate invariance principle, and convergence to stochastic integrals. This material is of special relevance to the theory ofcointegration. Nº de ref. del artículo: AAV9780198774037

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STOCHASTIC LIMIT THEORY AN INTRODUCTION FOR ECONOMETRICIANS (PAPERBACK) -
ISBN 10: 0198774036 ISBN 13: 9780198774037
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Descripción Condición: NEW. 9780198774037 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Nº de ref. del artículo: HTANDREE01582706

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James Davidson
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Descripción Oxford University Press, USA, 1994. Paperback. Condición: New. Nº de ref. del artículo: DADAX0198774036

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Davidson, James
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Descripción OUP Oxford, 1994. PAP. Condición: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: LQ-9780198774037

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James Davidson
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Descripción OUP Oxford. Paperback. Condición: New. 568 pages. Dimensions: 9.2in. x 6.1in. x 1.2in.This major new econometrics text surveys recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. Designed for econometricians and advanced students with limited mathematical training, the book clearly lays out the necessary math and probability theory and uses numerous examples to make its data useful and comprehensible. It also includes original new material from Davidsons 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. 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. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Nº de ref. del artículo: 9780198774037

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James Davidson
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Descripción Oxford University Press, 1994. Condición: New. book. Nº de ref. del artículo: M0198774036

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Davidson, Arnold I.
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Descripción OUP Oxford 1994-10, 1994. Condición: New. This item is printed on demand. Brand new book, sourced directly from publisher. Dispatch time is 4-5 working days from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Nº de ref. del artículo: NU-LSI-06875540

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James Davidson
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Descripción Oxford Univ Pr on Demand, 1994. Paperback. Condición: Brand New. 1st edition. 568 pages. 9.25x6.25x1.00 inches. In Stock. Nº de ref. del artículo: __0198774036

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