Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models - Brossura

Bierens, Herman J.

Brossura

ISBN 10: 0521565111 ISBN 13: 9780521565110

Casa editrice: Cambridge University Press, 2009

Riassunto

A rigorous treatment of a number of timely topics in advanced econometrics.

Su questo libro

Descrizione del libro

This book provides a rigorous treatment of a number of timely topics in advanced econometrics, together with the necessary introductory material on each subject. It will be of great use to graduate students of econometrics and statistics, and is particularly suitable for self-tuition.

Contenuti

1. Basic probability theory; 2. Convergence; 3. Introduction to conditioning; 4. Nonlinear parametric regression analysis and maximum likelihood theory; 5. Tests for model misspecification; 6. Conditioning and dependence; 7. Functional specification of time series models; 8. ARMAX models: estimation and testing; 9. Unit roots and cointegration; 10. The Nadaraya-Watson kernel regression function estimator.

Dettagli dell?edizione

• Editore: Cambridge University Press
• Data di pubblicazione: 2009
• ISBN 10: 0521565111
• ISBN 13: 9780521565110
• Rilegatura: Copertina flessibile
• Lingua: Inglese
• Numero di pagine: 272
• Contatto del produttore: non disponibile