Asymptotic Theory for Econometricians

by Halbert White

Book Overview

An econometric estimator is a solution to an optimization problem. This book provides the tools and concepts necessary to study the behavior of econometric estimators and test statistics in large samples.

• Format: Hardcover
• Language: English
• ISBN: 0127466525
• ISBN13: 9780127466521
• Release Date: October 2000
• Publisher: Academic Press
• Length: 264 Pages
• Weight: 1.25 lbs.
• Dimensions: 0.8" x 6.1" x 9.0"

Customer Reviews

Econometric Theory

It is simply a must-have for any serious theoretical econometrician. However, be advised that If you want to learn econometrics from scratch, this is the last book you should study. Certainly not for practicians.

A must-have.

This book is a must-have for serious econometrics students who want to specialize in asymptotic theory. But the price of this book is an outrage (...). The publisher should really consider publishing a paperback version to make it more affordable. I also recommend Davidson's Stochastic Limit Theory and Billingsley's Convergence of Probability Measures.

A very useful resource

This is a must-have for economists who do any work with theoretical econometrics. It is the kind of book I wish I had when I was a graduate student in economics. It provides kind of a theoretical backing to books like Greene and updates the more difficult to read econometrics texts of long ago like Theil.White starts out easy (easy if you do econometrics, that is). The linear model and the consequences of violating the basic assumptions. But from the basic beginning, the book goes far and seems to focus on those issues I consider to be most important (and things I didn't get first time around). And it takes you up to the "cutting edge."Too often, things like Laws of Large Numbers and Central Limit Theory are thrown at you like a tool that you must accept. But reading White's book helps you understand why these things work the way they do. I found this helpful.One more thing: Solutions in the back! perhaps this will start a trend.Some of the items might be difficult if you haven't had a bit of analysis or your understanding of applied econometrics isn't too good. But I guess if you pick up something called "Asympotic Theory" you know what you are getting into.I enjoyed it.

The best introduction on Asymptotic Theory for Econometrics

This book provides the basics of asymptotic theory for linear econometric models. It presents very clearly the classical assumptions concerning linear models, and shows the implications from them. Then, it relaxes each assumption, and compares the results with those obtained previously. This makes the book very readable and understandable.Of course, the reader is required to have taken a course in Econometrics, and should be used to matrix notation.I strongly recommend this book for those who wish to deepen their undertanding on Econometric Theory. I think this is the first book to be read.The exercises are proposed in the body of the text and should be solved before going on, because in fact they are part of the text. The solution is in the end of the book.