Econometric Modelling with Time Series: Specification, Estimation and Testing

by Vance Martin , Stan Hurn , David Harris

• ISBN13: 9780521196604
• ISBN10: 0521196604
• eBook ISBN(s): 9781139533720
• Format: Hardcover
• Copyright: 2012-12-28
• Publisher: Cambridge University Press
• More Book Details

Summary

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.

Table of Contents

Maximum Likelihood:

The maximum likelihood principle

Properties of maximum likelihood estimators

Numerical estimation methods

Hypothesis testing

Regression Models:

Linear regression models

Nonlinear regression models

Autocorrelated regression models

Heteroskedastic regression models

Other Estimation Methods:

Quasi-maximum likelihood estimation

Generalized method of moments

Nonparametric estimation

Estimation by stimulation

Stationary Time Series:

Linear time series models

Structural vector autoregressions

Latent factor models

Non-Station Time Series:

Nonstationary distribution theory

Unit root testing

Cointegration

Nonlinear Time Series:

Nonlinearities in mean

Nonlinearities in variance

Discrete time series models

Change in variable in probability density functions

The lag operator

FIML estimation of a structural model

Additional nonparametric results

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