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Econometric Modelling with Time Series

- Specification, Estimation and Testing

Bag om Econometric Modelling with Time Series

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780521196604
  • Indbinding:
  • Hardback
  • Sideantal:
  • 924
  • Udgivet:
  • 28. december 2012
  • Størrelse:
  • 161x229x54 mm.
  • Vægt:
  • 1442 g.
  • 8-11 hverdage.
  • 9. december 2024
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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.

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