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Stochastic Limit Theory – An Introduction for Econometricians - Oxford Scholarship Online
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Stochastic Limit Theory: An Introduction for Econometricians

James Davidson


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‐ ... More

Keywords: asymptotic theory, central limit theorem, convergence theorems, econometrics, law of large numbers, statistical theory, stochastic process

Bibliographic Information

Print publication date: 1994 Print ISBN-13: 9780198774037
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198774036.001.0001


Affiliations are at time of print publication.

James Davidson, author
University of Wales, Aberystwyth