Econometric Modelling with Time Series

Language: English

Published by Cambridge University Press, GB, 2012

0521139813 / 9780521139816

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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.

Seller Inventory # LU-9780521139816

Title
Econometric Modelling with Time Series
Author
Vance Martin, Stan Hurn, David Harris
Publisher
Cambridge University Press, GB
Publication year
2012
Condition
New
Binding
Paperback
Language
English
ISBN 10
0521139813
ISBN 13
9780521139816
Item weight
1,180 grams

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