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, 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 pr…
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Produktdetails
- ISBN: 978-1-139-53372-0
- EAN: 9781139533720
- Produktnummer: 14484175
- Verlag: Cambridge University Press
- Sprache: Englisch
- Erscheinungsjahr: 2012
- Seitenangabe: 0 S.
- Plattform: PDF
- Masse: 25'123 KB
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