Short-Memory Linear Processes and Econometric Applications
Kairat T. Mynbaev
- This
- book
- serves
- as
- a
- comprehensive
- source
- of
- asymptotic
- results
- for
- econometric
- models
- with
- deterministic
- exogenous
- regressors.
- Such
- regressors
- include
- linear
- (more
- generally,
- piece-wise
- polynomial)
- trends,
- seasonally
- oscillating
- functions,
- and
- slowly
- varying
- functions
- including
- logarithmic
- trends,
- as
- well
- as
- some
- specifications
- of
- spatial
- matrices
- in
- the
- theory
- of
- spatial
- models.
- The
- book
- begins
- with
- central
- limit
- theorems
- (CLTs)
- for
- weighted
- sums
- of
- short
- memory
- linear
- processes.
- This
- part
- contains
- the
- analysis
- of
- certain
- operators
- in
- Lp
- spaces
- and
- their
- employment
- in
- the
- derivation
- of
- CLTs.
- The
- applications
- of
- CLTs
- are
- to
- the
- asymptotic
- distribution
- of
- various
- estimators
- for
- several
- econometric
- models.
- Among
- the
- models
- discussed
- are
- static
- linear
- models
- with
- slowly
- varying
- regressors,
- spatial
- models,
- time
- series
- autoregressions,
- and
- two
- nonlinear
- models
- (binary
- logit
- model
- and
- nonlinear
- model
- whose
- linearization
- contains
- slowly
- varying
- regressors).
- The
- estimation
- procedures
- include
- ordinary
- and
- nonlinear
- least
- squares,
- maximum
- likelihood,
- and
- method
- of
- moments.
- Additional
- topical
- coverage
- includes
- an
- introduction
- to
- operators,
- probabilities,
- and
- linear
- models;
- Lp-approximable
- sequences
- of
- vectors;
- convergence
- of
- linear
- and
- quadratic
- forms;
- regressions
- with
- slowly
- varying
- regressors;
- spatial
- models;
- convergence;
- nonlinear
- models;
- and
- tools
- for
- vector autoregressions.
