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Asymptotic theory for econometricians Halbert White
Publisher: AP

I'm teaching two econometrics classes this term (master's and PhD), and I just covered the parts on asymptotic theory. 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. Business and Economic Statistics 23, 365{380. For example, Stats people care way less about asymptotic theory than economists. Http://bbs.jjxj.org/thread-81280-1-1.html. Statistical Inference 2e - George Casella, Roger L. 123、 DasGupta(2008), Asymptotic Theory of Statistics and Probability. And \plug-in asymptotic" inference for parameters de¯ned by moment in- equalities. And even within Econ, econometricians are now more in their own separate world. 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. A test of superior predictive ability. 124、 Davidson and MacKinnon(1993), Estimation and Inference in Econometrics. ECON481-1, 2 - Econometrics Parts 1, 2. Prerequisites: Introduction to Econometrics (KA7). Statistical Foundations of Econometric Modelling http://bbs.jjxj.org/thread-30929-1-1.html. When we first encounter asymptotic (large sample) theory in econometrics, one of the most important results that we learn about is the Central Limit Theorem.