Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics)

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Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics) image
ISBN-10:

0521139813

ISBN-13:

9780521139816

Edition: Illustrated
Released: Dec 28, 2012
Format: Paperback, 924 pages
Related ISBN: 9780521196604

Description:

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.

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