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Econometric Theory - Davidson, James, and Davidson, Meyer
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This book surveys recent developments in the rapidly expanding field of asymptotic distribution theory, placing special emphasis on the problems of time-dependence and heterogeneity. It is technically self-contained, with all but the most basic mathematical prerequisites being explained in their context.

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Econometric Theory 2000, John Wiley & Sons

ISBN-13: 9780631215844

Trade paperback

Econometric Theory 2000, Wiley-Blackwell

ISBN-13: 9780631178378

Hardcover