Econometric modelling with time series : specification, estimation and testing /
"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 framew...
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| Format: | eBook |
| Language: | English |
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Cambridge :
Cambridge University Press,
2013.
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| Series: | Themes in modern econometrics.
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| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- The maximum likelihood principle
- Properties of maximum likelihood estimators
- Numerical estimation methods
- Hypothesis testing
- Linear regression models
- Nonlinear regression models
- Autocorrelated regression models
- Heteroskedastic regression models
- Quasi-maximum likelihood estimation
- Generalized method of moments
- Nonparametric estimation
- Estimation by stimulation
- Linear time series models
- Structural vector autoregressions
- Latent factor models
- Nonstationary distribution theory
- Unit root testing
- Cointegration
- Nonlinearities in mean
- Nonlinearities in variance
- Discrete time series models.