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Econometric Theory

ISBN: 978-0-631-21584-4
528 pages
April 2000, Wiley-Blackwell
Econometric Theory (0631215840) cover image
This book surveys recent developments in the rapidly expanding field of asymptotic distribution theory, placing special emphasis on the problems of time-dependence and heterogeneity. It is technically self-contained, with all but the most basic mathematical prerequisites being explained in their context.
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Figures.

Symbols and Abbreviations.

Preface.

Part I: Basic Regression Theory.

1. The Linear Regression Model.

2. Statistical Analysis of the Regression Model.

3. Asymptotic Analysis of the Regression Model.

Part II: Dynamic Regression Theory.

4. Modelling Economic Time Series.

5. Principles of Dynamic Modelling.

6. Asymptotics for Dynamic Models.

7. Estimation and Testing.

8. Simultaneous Equations.

Part III: Advanced Estimation Theory.

9. Optimization Estimators I: Theory.

10. Optimization Estimators II: Examples.

11. The Method of Maximum Likelihood.

12. Testing Hypotheses.

13. System Estimation.

Part IV: Cointegration Theory.

14. Unit Roots.

15. Cointegrating Regression.

16. Cointegrated Systems.

Part V: Technical Appendices.

A. Matrix Algebra Basics.

B. Probability and Distribution Theory.

C. The Gaussian Distribution and Its Relatives.

References.

Author Index.

Subject Index.
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James Davidson is Professor of Econometrics at Cardiff University. Contributor and referee for a number of leading research journals, Davidson is the author of Stochastic Limit Theory (1994). With an MSc in Econometrics and Mathematical Economics from the London School of Economics, he has taught at the University of Warwick, the London School of Economics, the University of California-San Diego, and the University of Wales, Aberystwyth.
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  • Covers time series modelling in detail
  • Discusses recent advances in estimation and testing theory, cointegration and unit roots
  • Presents unique treatment of modern asymptotic theory for time series
  • Incorporates material from lectures given at London School of Economics.
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"Davidson's book is a well-written introduction to the state of the art in econometric theory. It will be useful both as a text for advanced econometrics courses and as a reference source for econometricians. It provides a thorough treatment of the asymptotic analysis of the linear regression model, time series models, nonlinear optimization estimators, unit roots, and cointegration." Bruce E. Hansen, University of Wisconsin-Madison

"The systematic use of the conditional expectation approach to modelling throughout the text will provide readers with many useful insights. It is a very good and thought-provoking book. Much can be learnt from it, even by 'experts.' Leonard Gill, University of Manchester

"The book is stong on linear dynamic modelling of time series and has an excellent coverage of recent developments in econometrics for non-stationery time series. Cointegration theory is given a comprehensive and clear treatment, including an exposition of the underlying probability background - stockastic processes on function spaces, Brownian motion and so on - which I found to enhance understanding considerably. This will be a useful book, particularly to those teaching advanced courses in time-series econometrics. Overall, it is a fine and well-written piece of work.
Times Higher Education Supplement

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