Dynamic Nonlinear Econometric Models
Benedikt M. Pötscher · 1997
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About the book
The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dynamic nonlinear models. The class of M-estimators contains least mean distance estimators (including maximum likelihood estimators) and generalized method of moments estimators. In addition to establishing the asymptotic properties of such estimators, the book provides a detailed discussion of the statistical and probabilistic tools necessary for such an analysis. The book also gives a careful treatment of estimators of asymptotic variance covariance matrices for dependent processes.
Book details
- Year
- 1997
- Language
- English
- Publisher
- Springer Berlin Heidelberg
- Editions
- 1
- Pages
- 312
- ISBN
- 9783642083099
Data source: Wikidata