Stochastic Limit Theory: An Introduction for Econometricicans (Advanced Texts in Econometrics)
| Author | : | |
| Rating | : | 4.78 (730 Votes) |
| Asin | : | 0198774028 |
| Format Type | : | paperback |
| Number of Pages | : | 568 Pages |
| Publish Date | : | 2015-08-20 |
| Language | : | English |
DESCRIPTION:
"An excellent text."--W.G. This book lays the foundation for serious econometrics. I wish I had spent a year studying it before graduate school. Park, Assistant Professor of Economics, American University"The chapters on the law of large numbers are superb. Well done!"--Henry Thompson, Auburn University
C. Hanck said Get ready for a hard time. Yes, I know it's a standard game of reviewers to show off by describing books as "a good introduction", implying one's capability of easily absorbing the material.I shall try to judge the book by its stated mission, viz. to be an "introduction for econometricians". In my view it isn't, the material doesn't resemble much of what you are likely to have encountered in yo. G. Calhoun said Fantastic introductdory reference book. As another reviewer noted, there are absolutely no "real world" examples in this book. But that's not really the point. This book covers many of the theorems and techniques you would need to prove asymptotic results for time series, and I refer to it almost daily. The book would be extremely difficult for someone who hasn't taken a graduate sequence in econometrics or. Kairat Mynbayev said One-stop reading for theoretical econometricians. I worked on various theoretical problems in econometrics. When I needed some theory, most of the time Davidson's book had it. Books in probabilities and statistics have too much material and examples that econometricians don't need (for example, I read Feller, Doob, and Rao). Davidson is good not only as a reference. It develops skills necessary for econometric resear
. James Davidson is at University of Wales, Aberystwyth
The book provides a coherent account of recent contributions to limit theory, with particular emphasis on the issues of date dependence and heterogeneity. A handbook and reference for academic econometricians and advanced graduate students. It also provides a grounding in the requisite mathematics and probability theory, which will allow readers with limited mathematical training to make use of the material.