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Asymptotic theory for econometricians Halbert White
Publisher: AP

For example, Stats people care way less about asymptotic theory than economists. Asymptotic Theory for Econometricians. Klein: Theoretical Reflections and. York: Cambridge University Press. Klein: Theoretical Reflections and Econometric Applications (Econometrics in the Information Age - Theory and Practice of Measurement. Estimation, Inference and Specification Analysis. Hal had a host of other very fundamental contributions, ranging from the recognition that neural networks are essentially a statistical inference problem, elegant contributions to asymptotic theory, any number of extremely useful specification tests , and his most recent interest in some very deep ideas about I used to have lunch each week with Hal, Clive Granger, Rob Engle, and others, at which people would bring up econometrics questions they'd been working on. And even within Econ, econometricians are now more in their own separate world. And \plug-in asymptotic" inference for parameters de¯ned by moment in- equalities. Under various assumptions, the resulting Journal of Applied Econometrics 6, no. Thus Asymptotic Theory for Least Squares 7. It also has one of the best and more rigorous yet accessible treatments of basic asymptotic theory (the examples and countexamples in this section are uncommonly good). With frequentist asymptotic theory, we can write down a likelihood function but only believe aspects of it. "[T]here are several aspects of the quantitative approach to economics, and no single one of these aspects, taken by itself, should be confounded with econometrics. A test of superior predictive ability. I'm teaching two econometrics classes this term (master's and PhD), and I just covered the parts on asymptotic theory. Stationary Time Series.- Hilbert Spaces.- Stationary ARMA Processes.- The Spectral Representation of a Stationary Process.- Prediction of Stationary Processes.- Asymptotic Theory.- Estimation of the Mean and the Autocovariance Function. Business and Economic Statistics 23, 365{380. Christian Gourieroux, Alain Monfort, Quang Vuong , “Statistics and Econometric Models: Volume 2, Testing, Confidence Regions, Model Selection and.