Lectures on advanced econometric theory
著者
書誌事項
Lectures on advanced econometric theory
B. Blackwell, 1988
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注記
Lectures delivered in a course at the London School of Economics in 1983-1984
Bibliography: p. [170]-173
Includes index
内容説明・目次
内容説明
Denis Sargan's work in econometrics has provided much of the foundation for teaching and research in Britain for the last 20 years. These lectures, delivered at the London School of Economics in the 1960s, have now been edited by Meghnad Desai, who also supplies an introduction, and seek to confirm the importance of Professor Sargan's work. His style is described as terse and rigorous but his exposition as lucid and exhilarating. This addition to econometric literature should be of interest to students and those who have been influenced by Professor Sargan's work.
目次
- Foundations of asymptotic theory
- simultaneous equation models (SEM)
- identification and the treatment of general linear restrictions
- estimation of single equation models 1 - OLS and GLS estimators
- estimation of single models 2 - the instrumental variable & 2SLS estimator
- the IV estimation of a set of simultaneous equations
- maximum likelihood estimation A - full information maximum likelihood (FIML)
- estimation B - limited information maximum likelihood (LIML) estimation
- testing equations for misspecification
- alternative significance tests
- methods of numerical optimization.
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