Stochastic Limit Theory: An Introduction for Econometricians

James Davidson ()

in OUP Catalogue from Oxford University Press

Abstract: This is a survey of the recent developments in the rapidly expanding field of asymptotic distribution theory, with a special emphasis on the problems of time dependence and heterogeneity. The book is designed to be useful on two levels. First as a textbook and reference work, giving definitions of the relevant mathematical concepts, statements, and proofs of the important results from the probability literature, and numerous examples; and second, as an account of recent work in the field of particular interest to econometricians, including a number of important new results. It is virtually self-contained, with all but the most basic technical prerequisites being explained in their context; mathematical topics include measure theory, integration, metric spaces, and topology, with applications to random variables, and an extended treatment of conditional probability. Other subjects treated include: stochastic processes, mixing processes, martingales, mixingales, and near-epoch dependence; the weak and strong laws of large numbers; weak convergence; and central limit theorems for nonstationary and dependent processes. The functional central limit theorem and its ramifications are covered in detail, including an account of the theoretical underpinnings (the weak convergence of measures on metric spaces), Brownian motion, the multivariate invariance principle, and convergence to stochastic integrals. This material is of special relevance to the theory of cointegration.

Date: 1994
ISBN: 9780198774037
References: Add references at CitEc
Citations: View citations in EconPapers (492)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oxp:obooks:9780198774037

Ordering information: This item can be ordered from
http://ukcatalogue.o ... uct/9780198774037.do

Access Statistics for this book

More books in OUP Catalogue from Oxford University Press
Bibliographic data for series maintained by Economics Book Marketing ().