Econometric Modelling with Time Series : Specification, Estimation and Testing

Martin, Vance, Hurn, Stan, & Harris, David (2013) Econometric Modelling with Time Series : Specification, Estimation and Testing. Themes in Modern Econometrics. Cambridge University Press, New York.

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Abstract

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.

Impact and interest:

6 citations in Web of Science®
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ID Code: 62806
Item Type: Book
ISBN: 9780521139816
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 23 Sep 2013 22:59
Last Modified: 21 Aug 2016 15:58

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