By George G. Judge

ISBN-10: 0521689732

ISBN-13: 9780521689731

ISBN-10: 0521869595

ISBN-13: 9780521869591

This publication is meant to supply the reader with a company conceptual and empirical knowing of uncomplicated information-theoretic econometric types and strategies. simply because such a lot facts are observational, practitioners paintings with oblique noisy observations and ill-posed econometric versions within the kind of stochastic inverse difficulties. for this reason, conventional econometric equipment in lots of situations usually are not acceptable for answering some of the quantitative questions that analysts desire to ask. After preliminary chapters care for parametric and semiparametric linear likelihood types, the point of interest turns to fixing nonparametric stochastic inverse difficulties. In succeeding chapters, a relations of energy divergence measure-likelihood features are brought for a number conventional and nontraditional econometric-model difficulties. ultimately, inside both an empirical greatest chance or loss context, Ron C. Mittelhammer and George G. pass judgement on recommend a foundation for selecting a member of the divergence family members

Show description

Read Online or Download An Information Theoretic Approach to Econometrics PDF

Best econometrics books

Download PDF by L.R. Klein, W. Welfe, A. Welfe: Principles of macroeconometric modeling

Very important new advancements have happened that experience major influence at the evolution of econometrics, specifically, the tip of the chilly struggle and the emergence of the data revolution in approximately all economies of the realm. the data revolution has had major influence on information flows, making them even more well timed, obtainable, and descriptive of extra elements of the economic climate.

Time Series: Theory and Methods (Springer Series in by Peter J. Brockwell, Richard A. Davis PDF

This paperback variation is a reprint of the 1991 version. Time sequence: idea and strategies is a scientific account of linear time sequence types and their program to the modeling and prediction of information accrued sequentially in time. the purpose is to supply particular strategies for dealing with information and while to supply a radical knowing of the mathematical foundation for the ideas.

Download e-book for iPad: Analysis of Time Series 3rd 2010 by Ruey S. Tsay

This publication presents a vast, mature, and systematic advent to present monetary econometric versions and their purposes to modeling and prediction of monetary time sequence info. It makes use of real-world examples and genuine monetary information through the e-book to use the versions and strategies defined.

An Economic Analysis of Conflicts: With an Application to by Nicos Christodoulakis PDF

This e-book offers a quantitative framework for the research of clash dynamics and for estimating the commercial expenses linked to civil wars. the writer develops converted Lotka-Volterra equations to version clash dynamics, to yield practical representations of conflict approaches, and to permit us to evaluate lengthy clash traps.

Extra info for An Information Theoretic Approach to Econometrics

Sample text

Note the following scaled deviation between the estimator and the unknown parameter vector β, as ˆ − β) = n1/2 (x x)−1 x ε = (n−1 x x)−1 n−1/2 x ε. 12) n1/2 (β The asymptotic normality of the LS estimator follows if n–1 x x → , where is a finite positive definite symmetric matrix, the elements in x are bounded in absolute value, and E[|εi |2 + δ ]≤ ξ, for some choice of positive finite constants δ and ξ. It follows via central limit theory that n−1/2 x ε = d n−1/2 ni=1 xi εi → N(0, ), where xi denotes the ith row of x written as a d column vector, in which case it follows that n1/2 (βˆ − β) → N(0, σ 2 −1 ).

And G. Casella (1998), Theory of Point Estimation. New York: SpringerVerlag. McCullagh, P. and J. A. Nelder (1989), Generalized Linear Models, 2nd ed. London: Chapman and Hall. Mittelhammer, R. C. (1996), Mathematical Statistics for Economics and Business. New York: Springer-Verlag. , G. Judge, and D. Miller (2000), Econometric Foundations. New York: Cambridge University Press. Newey, W. K. and D. McFadden (1994), “Large Sample Estimation and Hypothesis Testing,” in Handbook of Econometrics, edited by Robert F.

1985), Advanced Econometrics. Cambridge, MA: Harvard University Press, chapter 4. Bunke, H. and O. Bunke (1986), Statistical Inference in Linear Models. New York: Wiley. Huber, P. J. (1981), Robust Statistics. New York: John Wiley and Sons. Lehmann, E. and G. Casella (1998), Theory of Point Estimation. New York: SpringerVerlag. McCullagh, P. and J. A. Nelder (1989), Generalized Linear Models, 2nd ed. London: Chapman and Hall. Mittelhammer, R. C. (1996), Mathematical Statistics for Economics and Business.

Download PDF sample

An Information Theoretic Approach to Econometrics by George G. Judge


by George
4.3

Rated 4.95 of 5 – based on 37 votes