Econometric theory /
James Davidson.
- Oxford : Blackwell Publishers, 2000.
- xxv, 499 páginas : gráficas ; 24 cm.
Incluye referencias bibliográficas (páginas 469-485) e índice.
Part I: Basic regression theory: 1. The linear regression model ; 2. Statistical analysis of the regression model ; 3. Asymptotic analysis of the regression model -- Part II: Dynamic regression theory: 4. Modelling economic time series ; 5. Principles of dynamic modelling ; 6. Asymptotics for dynamic models ; 7. Estimation and testing ; 8. Simultaneous equations -- Part III: Advanced estimation theory : 9. Optimization estimators I: Theory ; 10. Optimization Estimators II: examples ; 11. The method of maximum likelihood ; 12. Testing hypotheses; 13. System estimation -- Part IV: Cointegration theory ; 14. Unit roots ; 15. Cointegrating regression ; 16. Cointegrated systems -- Part V: Technical Appendices: A. Matrix algebra basics ; B. Probability and distribution theory ; C. The Gaussian distribution and its relatives.