Econometric Modelling With Time Series: Specification, Estimation and Testing

Martin, Vance/ Hurn, Stan/ Harris, David

ISBN 10: 0521196604 / ISBN 13: 9780521196604

Published by Cambridge Univ Pr, 2013

About this Item

960 pages. 9.10x2.00x6.40 inches. In Stock.

Seller Inventory # x-0521196604

Bibliographic Details

• Title: Econometric Modelling With Time Series: Specification, Estimation and Testing
• Publisher: Cambridge Univ Pr
• Publication Date: 2013
• Language: English
• ISBN 10: 0521196604
• ISBN 13: 9780521196604
• Binding: Hardcover
• Condition: Brand New
• Weight: 1.39 kilograms

About this title

Synopsis

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.

About the Authors

Vance Martin is Professor of Econometrics at the University of Melbourne, Australia, a position he has held since 2000. He graduated with a PhD from Monash University in 1990. He was appointed Lecturer at the University of Melbourne in 1985 and became a Senior Lecturer in 1990.

Stan Hurn is Professor of Economics and Finance at Queensland University of Technology, Australia, a position he has held since 1998. He graduated with a DPhil in Economics from St Edmund Hall, Oxford, in 1992. He was appointed Lecturer at the University of Glasgow in 1988 and became a Senior Lecturer in 1993 before being named Official Fellow in Economics at Brasenose College, Oxford, in 1996.

David Harris is Professor of Econometrics at Monash University, Australia. He was awarded his PhD in Econometrics from Monash University in 1995. He was lecturer in econometrics from 1995 to 1997 at Monash University and from 1998 to 2010 at the University of Melbourne.