"Econometric Theory" presents a modern approach to the theory of econometric estimation and inference, with particular applications to time series. An ideal reference for practitioners and researchers, the book is also suited for advanced two-semester econometrics courses and one-semester regression courses. Based on lectures originally given to graduates at the London School of Economics, the book applies recent developments in asymptotic theory to derive the properties of estimators when the model is only partially specified. Topics covered in depth include the linear regression model, dynamic modeling, simultaneous equations, optimization estimators, hypothesis testing, and the theory of non-stationary time series and co-integration.
- ISBN10 0631178376
- ISBN13 9780631178378
- Publish Date 14 January 2000
- Publish Status Out of Print
- Out of Print 20 February 2001
- Publish Country GB
- Publisher John Wiley and Sons Ltd
- Imprint Blackwell Publishers
- Format Hardcover
- Pages 528
- Language English