"Econometric Theory" presents a modern approach to the theory of
econometric estimation and inference, with particular applications
to time series. An ideal reference for practitioners and
researchers, the book is also suited for advanced two-semester
econometrics courses and one-semester regression courses.
Based on lectures originally given to graduates at the London
School of Economics, the book applies recent developments in
asymptotic theory to derive the properties of estimators when the
model is only partially specified. Topics covered in depth include
the linear regression model, dynamic modeling, simultaneous
equations, optimization estimators, hypothesis testing, and the
theory of nonstationary time series and cointegration.
General
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