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Asymptotic theory for econometricians Halbert White
Publisher: AP

This collection of essays is concerned with the “limits of experiments” approach to asymptotic theory and its particular application to problems in econometric theory. Econometrics and statistics, especially in the areas of censored models, panel (longitudinal). Volatility, and finite sample and asymptotic theories, among others. 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. The first part (Part I) of the course concentrates on the linear regression model and the principles of statistical inference and asymptotic theory in econometrics. Further, unlike the Durlauf-Johnson Regression Tree approach (Durlauf and Johnson, 1995), Hansen's methodology provides the necessary asymptotic theory to enable tests for the statistical significance of the number of thresholds. Volume I of the Palgrave Handbook of Econometrics covers developments in theoretical econometrics, including essays on the methodology and history of econometrics, developments in time-series and cross-section econometrics, modelling with integrated variables, Bayesian econometrics, simulation methods and a selection of special topics. This unique book provides the tools and concepts necessary to study the behaviour of econometric estimators and test statistics in large samples. 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. Prerequisites: Introduction to Econometrics (KA7). Data models, the analysis of nonstationary time series, cointegration and. ECON481-1, 2 - Econometrics Parts 1, 2. Asymptotic theory has played a large role in the development of many recent econometric methods.