Asymptotic theory for econometricians Halbert White
Publisher: AP

And even within Econ, econometricians are now more in their own separate world. Measurement Error and Latent Variables 9. With frequentist asymptotic theory, we can write down a likelihood function but only believe aspects of it. Generalized Method of Moments 12. Business and Economic Statistics 23, 365{380. For example, Stats people care way less about asymptotic theory than economists. A test of superior predictive ability. Christian Gourieroux, Alain Monfort, Quang Vuong , “Statistics and Econometric Models: Volume 2, Testing, Confidence Regions, Model Selection and. Basic Elements of Asymptotic Theory 11. And plug-in asymptotic" inference for parameters de¯ned by moment in- equalities. Under various assumptions, the resulting Journal of Applied Econometrics 6, no. Nonnested Hypothesis Testing: An Overview 14.