Econometric modelling with time series: specification, estimation and testing
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,...
Gespeichert in:
| Beteilige Person: | |
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| Weitere beteiligte Personen: | , |
| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2013
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| Schriftenreihe: | Themes in Modern Econometrics
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| Links: | https://doi.org/10.1017/CBO9781139043205 |
| Zusammenfassung: | 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. |
| Umfang: | 1 Online-Ressource (xxxv, 887 Seiten) |
| ISBN: | 9781139043205 |
Internformat
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| 100 | 1 | |a Martin, Vance |d 1955- | |
| 245 | 1 | 0 | |a Econometric modelling with time series |b specification, estimation and testing |c Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia |
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| 700 | 1 | |a Harris, David |d 1969- | |
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| spelling | Martin, Vance 1955- Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia Cambridge Cambridge University Press 2013 1 Online-Ressource (xxxv, 887 Seiten) txt c cr Themes in Modern Econometrics 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. Harris, David 1969- Hurn, Stan Erscheint auch als Druck-Ausgabe 9780521139816 Erscheint auch als Druck-Ausgabe 9780521196604 |
| spellingShingle | Martin, Vance 1955- Econometric modelling with time series specification, estimation and testing |
| title | Econometric modelling with time series specification, estimation and testing |
| title_auth | Econometric modelling with time series specification, estimation and testing |
| title_exact_search | Econometric modelling with time series specification, estimation and testing |
| title_full | Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia |
| title_fullStr | Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia |
| title_full_unstemmed | Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia |
| title_short | Econometric modelling with time series |
| title_sort | econometric modelling with time series specification estimation and testing |
| title_sub | specification, estimation and testing |
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