Econometric Modelling with Time Series

Specification, Estimation and Testing

Business & Finance, Economics, Econometrics, Nonfiction, Social & Cultural Studies, Social Science
Cover of the book Econometric Modelling with Time Series by Vance Martin, Stan Hurn, David Harris, Cambridge University Press
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Author: Vance Martin, Stan Hurn, David Harris ISBN: 9781139539531
Publisher: Cambridge University Press Publication: December 28, 2012
Imprint: Cambridge University Press Language: English
Author: Vance Martin, Stan Hurn, David Harris
ISBN: 9781139539531
Publisher: Cambridge University Press
Publication: December 28, 2012
Imprint: Cambridge University Press
Language: English

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.

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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.

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