Econometric Modelling with Time Series

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Econometric Modelling with Time Series

By Vance Martin; Stan Hurn; David Harris

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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.

Subject: Business & Economics -> Economics -> Forecasting/Econometrics

Econometric Modelling with Time Series
Specification, Estimation and Testing
1st edition
Publisher: Cambridge University Press 12/28/12
Imprint: Cambridge University Press
Language: English

ISBN 10: 1139539531
ISBN 13: 9781139539531
Print ISBN: 9780521196604

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