Econometric Modelling with Time Series: Specification, Estimation and Testing

di Vance Martin (Autore)

Stan Hurn (Autore)

David Harris (Autore)

Cambridge University Press, 2012

This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalised method of moments estimation, nonparametric estimation and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.

• Autore: Vance Martin, Stan Hurn, David Harris
• Editore: Cambridge University Press
• Collana: Themes in Modern Econometrics
• Anno: 2012
• Rilegatura: Hardback
• Pagine: 924 p.
• Dimensioni: 229 x 152 mm
• Peso: 1390 gr.
• EAN: 9780521196604

Testo in English