Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics) - Softcover

Martin, Vance; Hurn, Stan; Harris, David

Softcover

ISBN 10: 0521139813 ISBN 13: 9780521139816

Publisher: Cambridge University Press, 2013

Synopsis

Econometric Modelling with Time Series This book provides a general framework for specifying, estimating and testing time series econometric models. Full description

About this title

Review

'This book will be an excellent text for advanced undergraduate and postgraduate courses in econometric time series. The statistical theory is clearly presented and the many examples make the techniques readily accessible and illustrate their practical importance.' Andrew Harvey, University of Cambridge

'This book takes an important step forward relative to existing time-series econometrics texts, with, for example, significant coverage of numerical optimization, quasi-maximum-likelihood estimation, nonparametric and simulation-based estimation, latent-factor models, and volatility models. In addition, readers will benefit immensely from the complete sets of included R and Matlab routines. Well done!' Francis X. Diebold, University of Pennsylvania

'This book is exceptionally well done. The blending of theory, application and computation is sublimely done throughout. [It] will be a must-have for advanced graduate students working with economic and financial time series data, and will also form a definitive and up-to-date reference source for both academic and academic-related researchers in the field.' Robert Taylor, University of Nottingham

'This book gave me excitement and sensations similar to visiting Australian wineries: tantalizing vitality, pronounced yet balanced flavours, exposing exhilarating progressive developments, produced by excellent and tasteful craftsmanship, and well-matured and extremely consumer-friendly with its many recipes in various computer codes, thus it is strongly recommended to both young graduates and experienced connoisseurs.' Jan F. Kiviet, Nanyang Technological University and University of Amsterdam

'This textbook strikes an excellent balance between explaining the underlying concepts and intuition, containing the requisite amount of rigor, and providing sufficient guidance for students to be able to apply the methods described to a variety of time-series situations. It is extremely clearly written and should instantly find a wide audience. The book's emphasis on maximum-likelihood as a unifying guiding principle is well-justified, and provides the right context for students to understand how seemingly disparate econometric methods are fundamentally related.' Yacine Ait-Sahalia, Princeton University

Book Description

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.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2013
• ISBN 10: 0521139813
• ISBN 13: 9780521139816
• Binding: Paperback
• Language: English
• Number of pages: 924