Econometric Modelling with Time Series: Specification, Estimation and Testing

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9780521139816: 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, 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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Recensione:

'This book will be an excellent text for advanced undergraduate and postgraduate courses in econometric time series. The statistical theory is clearly presented and the many examples make the techniques readily accessible and illustrate their practical importance.' Andrew Harvey, University of Cambridge

'This book takes an important step forward relative to existing time-series econometrics texts, with, for example, significant coverage of numerical optimization, quasi-maximum-likelihood estimation, nonparametric and simulation-based estimation, latent-factor models, and volatility models. In addition, readers will benefit immensely from the complete sets of included R and Matlab routines. Well done!' Francis X. Diebold, University of Pennsylvania

'This book is exceptionally well done. The blending of theory, application and computation is sublimely done throughout. [It] will be a must-have for advanced graduate students working with economic and financial time series data, and will also form a definitive and up-to-date reference source for both academic and academic-related researchers in the field.' Robert Taylor, University of Nottingham

'This book gave me excitement and sensations similar to visiting Australian wineries: tantalizing vitality, pronounced yet balanced flavours, exposing exhilarating progressive developments, produced by excellent and tasteful craftsmanship, and well-matured and extremely consumer-friendly with its many recipes in various computer codes, thus it is strongly recommended to both young graduates and experienced connoisseurs.' Jan F. Kiviet, Nanyang Technological University and University of Amsterdam

'This textbook strikes an excellent balance between explaining the underlying concepts and intuition, containing the requisite amount of rigor, and providing sufficient guidance for students to be able to apply the methods described to a variety of time-series situations. It is extremely clearly written and should instantly find a wide audience. The book's emphasis on maximum-likelihood as a unifying guiding principle is well-justified, and provides the right context for students to understand how seemingly disparate econometric methods are fundamentally related.' Yacine Ait-Sahalia, Princeton University

Descrizione del libro:

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Vance L. Martin, Stan Hurn, David Harris
Editore: Cambridge University Press
ISBN 10: 0521139813 ISBN 13: 9780521139816
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Descrizione libro Cambridge University Press. Paperback. Condizione libro: new. BRAND NEW, Econometric Modelling with Time Series: Specification, Estimation, and Testing, Vance L. Martin, Stan Hurn, David Harris, 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. Codice libro della libreria B9780521139816

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Vance L. Martin, Stan Hurn, David Harris
Editore: Cambridge University Press 2012-12-28, Cambridge (2012)
ISBN 10: 0521139813 ISBN 13: 9780521139816
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Descrizione libro Cambridge University Press 2012-12-28, Cambridge, 2012. paperback. Condizione libro: New. Codice libro della libreria 9780521139816

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Vance L. Martin, Stan Hurn, David Harris
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ISBN 10: 0521139813 ISBN 13: 9780521139816
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2013. Paperback. Condizione libro: New. 226 x 152 mm. Language: English . Brand New Book. 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. Codice libro della libreria KNV9780521139816

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Vance L. Martin, Stan Hurn, David Harris
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2013)
ISBN 10: 0521139813 ISBN 13: 9780521139816
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2013. Paperback. Condizione libro: New. 226 x 152 mm. Language: English . Brand New Book. 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. Codice libro della libreria KNV9780521139816

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Descrizione libro Cambridge University Press, 2012. PAP. Condizione libro: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria LQ-9780521139816

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Martin, Vance
Editore: Cambridge University Press (2016)
ISBN 10: 0521139813 ISBN 13: 9780521139816
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Descrizione libro Cambridge University Press, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9780521139816_lsuk

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VANCE MARTIN , STAN HURN , DAVID HARRIS
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Descrizione libro 2013. Paperback. Condizione libro: NEW. 9780521139816 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0448168

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Descrizione libro Condizione libro: New. This item is Print on Demand - Depending on your location, this item may ship from the US or UK. Codice libro della libreria POD_9780521139816

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Descrizione libro Condizione libro: New. Publisher/Verlag: Cambridge University Press | 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, generalized method of moments estimation, nonparametric estimation and estimation by simulation. | Format: Paperback | Language/Sprache: english | 1371 gr | 228x152x46 mm | 937 pp. Codice libro della libreria K9780521139816

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Vance Martin
Editore: Cambridge University Press Jun 2013 (2013)
ISBN 10: 0521139813 ISBN 13: 9780521139816
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Descrizione libro Cambridge University Press Jun 2013, 2013. Taschenbuch. Condizione libro: Neu. 228x152x46 mm. Neuware - This book provides a general framework for specifying, estimating and testing time series econometric models. 937 pp. Englisch. Codice libro della libreria 9780521139816

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