Topics In Advanced Econometrics: Volume II Linear and Nonlinear Simultaneous Equations - Hardcover

Dhrymes, Phoebus J.

Hardcover

ISBN 10: 0387941568 ISBN 13: 9780387941561

Verlag: Springer, 1994

Inhaltsangabe

This book is intended for second year graduate students and professionals who have an interest in linear and nonlinear simultaneous equations mod­ els. It basically traces the evolution of econometrics beyond the general linear model (GLM), beginning with the general linear structural econo­ metric model (GLSEM) and ending with the generalized method of mo­ ments (GMM). Thus, it covers the identification problem (Chapter 3), maximum likelihood (ML) methods (Chapters 3 and 4), two and three stage least squares (2SLS, 3SLS) (Chapters 1 and 2), the general nonlinear model (GNLM) (Chapter 5), the general nonlinear simultaneous equations model (GNLSEM), the special ca'3e of GNLSEM with additive errors, non­ linear two and three stage least squares (NL2SLS, NL3SLS), the GMM for GNLSEIVl, and finally ends with a brief overview of causality and re­ lated issues, (Chapter 6). There is no discussion either of limited dependent variables, or of unit root related topics. It also contains a number of significant innovations. In a departure from the custom of the literature, identification and consistency for nonlinear models is handled through the Kullback information apparatus, as well as the theory of minimum contrast (MC) estimators. In fact, nearly all estimation problems handled in this volume can be approached through the theory of MC estimators. The power of this approach is demonstrated in Chapter 5, where the entire set of identification requirements for the GLSEM, in an ML context, is obtained almost effortlessly, through the apparatus of Kullback information.

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Über die Autorin bzw. den Autor

Professor Dhrymes is currently Professor of Economics at Columbia University. Earlier he taught at Harvard, University of Pennsylvania, University of California at Los Angeles, and Monash University in Australia. He is a fellow of the Econometric Society and the American Statistical Association. He has been a managing editor and editor of the International Economic Review, and one of the founding editors of the Journal of Econometrics. Professor Dhrymes serves on the Editorial Advisory Boards of the Journal of Econometrics and Econometric Theory.

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 1994
• Sprache: Englisch
• ISBN 10: 0387941568
• ISBN 13: 9780387941561
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 420
• Kontakt zum Hersteller: GPSR Kontakt; ProductSafety@springernature.com; ; Tiergartenstr. 17; Heidelberg; 69121; Deutschland