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Title: Stochastic Limit Theory: An Introduction for Econometricians (Advanced Texts in Econometrics) by James Davidson, Arnold I. Davidson ISBN: 0-19-877403-6 Publisher: Oxford Univ Pr on Demand Pub. Date: October, 1994 Format: Paperback Volumes: 1 List Price(USD): $60.00 |
Average Customer Rating: 5 (1 review)
Rating: 5
Summary: complete, excellent
Comment: This is an excellent book on stochastic convergence. The book is oriented toward advanced graduate students in economics and researchers that have to use econometrics in practice, and its main aim is to introduce this audience to advanced mathematical concepts that are needed in order to deal with stochastic convergence. The first part of this book (about 200 pages) is preliminaries from real analysis, measure and probability theory. Then it discusses theory of stochastic processes, introducing among others such concepts as martingales and mixingales, and then it moves to the main part - various limit results (about 300 pages). It discusses in great detail Laws of Large Numbers and Central Limit Theorems for various sequences of random variables: from simple iid cases to dependent non-identicali distributed. It concludes with the section on Functional Central Limit Theorems. This textbook is practically complete, it contains huge amount of material and almost all results are provided with proofs. It was recommended to as by prof. Phillips for his Time-Series Econometrics course ar Yale, but I find it very useful for other courses in statistics and finance too. It is just a great reference book and if you study econometrics at advanced level or you have to read modern econometrics literature you would appreciate it. It could be also a good idea to combine reading of this book with White's "Asymptotic Theory For Econometricians". The last one is very compact and it adapts results found in Davidson's book to the case of linear regression model.
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Title: Asymptotic Theory for Econometricians : Revised Edition by Halbert White ISBN: 0127466525 Publisher: Academic Press Pub. Date: 11 October, 2000 List Price(USD): $74.95 |
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Title: Nonparametric Econometrics by Adrian Pagan, Aman Ullah ISBN: 0521586119 Publisher: Cambridge University Press Pub. Date: 01 July, 1999 List Price(USD): $32.00 |
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Title: Econometrics by Fumio Hayashi ISBN: 0691010188 Publisher: Princeton Univ Pr Pub. Date: 15 December, 2000 List Price(USD): $75.00 |
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Title: Asymptotic Statistics by A. W. van der Vaart ISBN: 0521784506 Publisher: Cambridge University Press Pub. Date: 19 June, 2000 List Price(USD): $40.00 |
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Title: Time Series: Theory and Methods (Springer Series in Statistics) by Peter J. Brockwell, Richard A. Davis, Stephen E. Fienberg ISBN: 0387974296 Publisher: Springer Verlag Pub. Date: February, 1991 List Price(USD): $97.00 |
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