Tham khảo sách 'handbook of econometrics_4', kinh tế - quản lý, kinh tế học phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Chapter 45 ESTIMATION AND INFERENCE FOR DEPENDENT PROCESSES JEFFREY M. WOOLDRIDGE Michigan State University Contents Abstract 2641 Part I. Introduction and overview 2641 1. Introduction 2641 2. Examples of stochastic processes 2643 3. Types of estimation techniques 2648 Part II. The essentially stationary weakly dependent case 2649 4. Asymptotic properties of M-estimators 2649 . Introduction 2649 . Consistency 2651 . Asymptotic normality 2654 . Adjustment for nuisance parameters 2658 . Estimating the asymptotic variance 2659 . Hypothesis testing 2665 5. Maximum likelihood estimation 2670 6. Quasi-maximum likelihood estimation QMLE 2680 . Conditional mean estimation 2681 . QMLE for the mean and variance 2688 7. Generalized method of moments estimation 2691 . Introduction 2691 . Consistency 2694 . Asymptotic normality 2695 Without implicating them I would like to thank Bruce Hansen Dan McFadden Peter Phillips and Peter Schmidt for providing very helpful comments on the first draft. I am grateful to the Alfred p. Sloan Foundation for providing financial support through a Sloan Research Fellowship. Handbook of Econometrics Volume IV. Edited by . Engle and . McFadden Í994 Elsevier Science . All rights reserved 2640 . Wooldridge . Estimating the asymptotic variance 2697 . Asymptotic efficiency 2699 . Testing 2700 Part III. The globally nonstationary weakly dependent case 2701 8. General results 2701 . Introduction 2701 . Asymptotic normality of an abstract estimator 2702 9. Asymptotic normality of Ai-estimators 2706 . Asymptotic normality 2706 . Estimating the asymptotic variance 2710 Part IV. The nonergodic case 2710 10. General results 2710 . Introduction 2710 . Abstract limiting distribution result 2711 11. Some results for linear models 2713 12. Applications to nonlinear models 2723 Appendix 2725 References 2733 Ch. 45 Estimation and Inference for Dependent Processes 2641 Abstract This chapter
