Econometric modelling with time series: specification, estimation and testing

by Martin, Vance

Type Book

Rate 0.0 /5

Details

Files

Reviews

Download

Title Statements

Full title :Econometric modelling with time series : specification, estimation and testing / Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia.

Summary

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.

Edition Statements

Publication Date:2013

Publication Statements

Publisher(s):Cambridge University Press
Place of Publication:Cambridge
Language:eng
Publication Date:2013

Notes

Title from publisher's bibliographic system (viewed on 18 Jul 2016).

The Physical Object

Description:1 online resource (xxxv, 887 pages) : PDF file(s).

Edition Identifiers

ISBN:9781139043205, 113904320X, 9780521196604, 0521196604, 9780521139816, 0521139813
DOI:10.1017/CBO9781139043205
oclc:on1261406804
Dewey Decimal:330.01/51955