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Asymptotic theory for econometricians Halbert White
Publisher: AP

Topics in asymptotic theory for GARCH-type models. And \plug-in asymptotic" inference for parameters de¯ned by moment in- equalities. A test of superior predictive ability. York: Cambridge University Press. Business and Economic Statistics 23, 365{380. It also has one of the best and more rigorous yet accessible treatments of basic asymptotic theory (the examples and countexamples in this section are uncommonly good). Pdf A COURSE IN LARGE SAMPLE THEORY by Thomas S. Ferguson 1996 by TS Ferguson - Cited by 387. 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. 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. For this reason many versions of the model have been proposed especially in late 80s and 90s by econometricians. I'm teaching two econometrics classes this term (master's and PhD), and I just covered the parts on asymptotic theory. Statistics 552: Asymptotic Theory . Perhaps 5,218 observations on 1,798 households is not large enough for asymptotic behavior to kick in. Serfling; Asymptotic Theory for Econometricians: Revised Edition (Academic Press) By Halbert White; A Course in Large Sample Theory (Chapman & Hall/CRC) By Thomas S. Asymptotic Theory for Econometricians. Estimation, Inference and Specification Analysis.