Tags
Language
Tags
March 2024
Su Mo Tu We Th Fr Sa
25 26 27 28 29 1 2
3 4 5 6 7 8 9
10 11 12 13 14 15 16
17 18 19 20 21 22 23
24 25 26 27 28 29 30
31 1 2 3 4 5 6

Econometric Modelling with Time Series: Specification, Estimation and Testing (repost)

Posted By: libr
Econometric Modelling with Time Series: Specification, Estimation and Testing (repost)

Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics) by Vance Martin, Stan Hurn and David Harris
English | 2012 | ISBN: 0521139813 , 0521196604 | 937 pages | PDF | 7,5 MB

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, generalized 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.