Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics) by Vance Martin, Stan Hurn and David Harris
English | 2012 | ISBN: 0521139813 , 0521196604 | 937 pages | PDF | 7,5 MB
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.