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,...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2013
|
| Schriftenreihe: | Themes in modern econometrics
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| Schlagworte: | |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 Online-Ressource (xxxv, 887 Seiten) Diagramme |
| ISBN: | 9781139043205 |
Internformat
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| 520 | 3 | |a 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. | |
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Datensatz im Suchindex
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| dewey-full | 330.01/51955 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.01/51955 |
| dewey-search | 330.01/51955 |
| dewey-sort | 3330.01 551955 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV048879947 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:45:54Z |
| indexdate | 2024-07-10T09:48:40Z |
| institution | BVB |
| isbn | 9781139043205 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034144698 |
| oclc_num | 1374564900 |
| open_access_boolean | |
| owner | DE-11 |
| owner_facet | DE-11 |
| physical | 1 Online-Ressource (xxxv, 887 Seiten) Diagramme |
| psigel | ZDB-20-CBO ZDB-20-CHS |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Cambridge University Press |
| record_format | marc |
| series2 | Themes in modern econometrics |
| spelling | Martin, Vance 1955- Verfasser (DE-588)170104249 aut Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia Cambridge Cambridge University Press 2013 1 Online-Ressource (xxxv, 887 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier Themes in modern econometrics 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. Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Econometric models Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Hurn, Stan 1961- Verfasser (DE-588)171054784 aut Harris, David 1969- Verfasser (DE-588)171212347 aut Erscheint auch als Druck-Ausgabe, Hardcover 978-0-521-19660-4 Erscheint auch als Druck-Ausgabe, Paperback 978-0-521-13981-6 |
| spellingShingle | Martin, Vance 1955- Hurn, Stan 1961- Harris, David 1969- Econometric modelling with time series specification, estimation and testing Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4043212-9 |
| title | Econometric modelling with time series specification, estimation and testing |
| title_auth | Econometric modelling with time series specification, estimation and testing |
| title_exact_search | Econometric modelling with time series specification, estimation and testing |
| title_exact_search_txtP | Econometric modelling with time series specification, estimation and testing |
| title_full | Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia |
| title_fullStr | Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia |
| title_full_unstemmed | Econometric modelling with time series specification, estimation and testing Vance Martin, University of Melbourne, Australia, Stan Hurn, Queensland University of Technology, Australia, David Harris, Monash University, Australia |
| title_short | Econometric modelling with time series |
| title_sort | econometric modelling with time series specification estimation and testing |
| title_sub | specification, estimation and testing |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Zeitreihenanalyse Ökonometrisches Modell |
| work_keys_str_mv | AT martinvance econometricmodellingwithtimeseriesspecificationestimationandtesting AT hurnstan econometricmodellingwithtimeseriesspecificationestimationandtesting AT harrisdavid econometricmodellingwithtimeseriesspecificationestimationandtesting |