Econometric Modelling with Time Series

Specification, Estimation and Testing

by Vance Martin, Stan Hurn, David Harris

Series: Themes in Modern Econometrics

Subject categories
ISBNs
  • 9780521196604
  • 9781139533720
  • 9781139539531
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.
  • Cambridge University Press; December 2012
  • ISBN: 9781139533720
  • Read online, or download in secure PDF or secure ePub format
  • Title: Econometric Modelling with Time Series
  • Series: Themes in Modern Econometrics
  • Author: Vance Martin; Stan Hurn; David Harris
  • Imprint: Cambridge University Press
Subject categories
ISBNs
  • 9780521196604
  • 9781139533720
  • 9781139539531

In The Press

'This book will be an excellent text for advanced undergraduate and postgraduate courses in econometric time series. The statistical theory is clearly presented and the many examples make the techniques readily accessible and illustrate their practical importance.' Andrew Harvey, University of Cambridge

Subject categories
ISBNs
  • 9780521196604
  • 9781139533720
  • 9781139539531