01744nam a2200229 4500 20250325124616.0 250325b |||||||| |||| 00| 0 eng d 9780192844507 Textual RTL RTL X:(B2816) N4;R1 RTL Davidson, James Stochastic limit theory: an introduction for econometricians 2nd UK Oxford university press 2021 xxix, 776p. Includes bibliography and index This book aims to introduce modern asymptotic theory to students and practitioners of econometrics. It falls broadly into two parts. The first half provides a handbook and reference for the underlying mathematics (Part I, Chapters 1‐6), statistical theory (Part II, Chapters 7‐11) and stochastic process theory (Part III, Chapters 12‐17). The second half provides a treatment of the main convergence theorems used in analysing the large sample behaviour of econometric estimators and tests. These are the law of large numbers (Part IV, Chapters 18‐21), the central limit theorem (Part V, Chapters 22‐25) and the functional central limit theorem (Part VI, Chapters 26‐30). The focus in this treatment is on the nonparametric approach to time series properties, covering topics such as nonstationarity, mixing, martingales, and near‐epoch dependence. While the approach is not elementary, care is taken to keep the treatment self‐contained. Proofs are provided for almost all the results. Econometric and Statistical Methods and Methodology: General 747533 Econometrics Mathematical Economics CC 0 TB X:(B2816) N4;R1 1269243 1269243 0 0 CC 0 0 RTL RTL 2025-03-25 0 X:(B2816) N4;R1 RT1528395 2025-03-25 12:47:22 2025-03-25 TB