Econometric modelling with time series: specification, estimation and testing
Auteur :
Martin, Vance / Hurn, Stan / Harris, David
Éditeur :
Cambridge University Press
ISBN :
9780521196604
Date de publication :
28 déc. 2012
Dimensions :
22,9 x 15,2 x 4,8 cm
Poids :
1390 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.