Econometric Modelling with Time Series : Specification, Estimation, and Testing
ISBN: 9780521196604 | 0521196604
Format: HardcoverPublisher: Cambridge University Press
Pub. Date: 12/28/2012
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"This book provides a general framework for specifying, estimating, and testing time series econometric models"--"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and full-information maximum likelihood. In deriving the maximum likel... MORE
| 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 |
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