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Preface to the First Edition | ix | |
Preface to the Revised Edition | xi | |
References | xiii | |
1 | The Linear Model and Instrumental Variables Estimators | 1 |
References | 12 | |
For Further Reading | 12 | |
2 | Consistency | 15 |
2.1 | Limits | 15 |
2.2 | Almost Sure Convergence | 18 |
2.3 | Convergence in Probability | 24 |
2.4 | Convergence in rth Mean | 28 |
References | 30 | |
3 | Laws of Large Numbers | 31 |
3.1 | Independent Identically Distributed Observations | 32 |
3.2 | Independent Heterogeneously Distributed Observations | 35 |
3.3 | Dependent Identically Distributed Observations | 39 |
3.4 | Dependent Heterogeneously Distributed Observations | 46 |
3.5 | Martingale Difference Sequences | 53 |
References | 62 | |
4 | Asymptotic Normality | 65 |
4.1 | Convergence in Distribution | 65 |
4.2 | Hypothesis Testing | 74 |
4.3 | Asymptotic Efficiency | 83 |
References | 111 | |
5 | Central Limit Theory | 113 |
5.1 | Independent Identically Distributed Observations | 114 |
5.2 | Independent Heterogeneously Distributed Observations | 117 |
5.3 | Dependent Identically Distributed Observations | 122 |
5.4 | Dependent Heterogeneously Distributed Observations | 130 |
5.5 | Martingale Difference Sequences | 133 |
References | 136 | |
6 | Estimating Asymptotic Covariance Matrices | 137 |
6.1 | General Structure of V[subscript n] | 137 |
6.2 | Case 1: {Z[subscript t varepsilon subscript t]} Uncorrelated | 139 |
6.3 | Case 2: {Z[subscript t varepsilon subscript t]} Finitely Correlated | 147 |
6.4 | Case 3: {Z[subscript t varepsilon subscript t]} Asymptotically Uncorrelated | 154 |
References | 164 | |
7 | Functional Central Limit Theory and Applications | 167 |
7.1 | Random Walks and Wiener Processes | 167 |
7.2 | Weak Convergence | 171 |
7.3 | Functional Central Limit Theorems | 175 |
7.4 | Regression with a Unit Root | 178 |
7.5 | Spurious Regression and Multivariate FCLTs | 184 |
7.6 | Cointegration and Stochastic Integrals | 190 |
References | 204 | |
8 | Directions for Further Study | 207 |
8.1 | Extending the Data Generating Process | 207 |
8.2 | Nonlinear Models | 209 |
8.3 | Other Estimation Techniques | 209 |
8.4 | Model Misspecification | 211 |
References | 211 | |
Solution Set | 213 | |
References | 259 | |
Index | 261 |
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