 The Resource Econometric modelling with time series : specification, estimation and testing, Vance Martin, Stan Hurn, David Harris

# Econometric modelling with time series : specification, estimation and testing, Vance Martin, Stan Hurn, David Harris

Label
Econometric modelling with time series : specification, estimation and testing
Title
Econometric modelling with time series
Title remainder
specification, estimation and testing
Statement of responsibility
Vance Martin, Stan Hurn, David Harris
Creator
Contributor
Subject
Language
eng
Summary
"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 likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasi-maximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulation-based estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn"--
Member of
Assigning source
Provided by publisher
E7B
Dewey number
330.01/51955
Illustrations
illustrations
Index
index present
LC call number
HB141
LC item number
.M3555 2013eb
Literary form
non fiction
Nature of contents
• dictionaries
• bibliography
Series statement
Themes in modern econometrics
Label
Econometric modelling with time series : specification, estimation and testing, Vance Martin, Stan Hurn, David Harris
Publication
Bibliography note
Includes bibliographical references and indexes
• net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Control code
ocn823741877
Dimensions
unknown
Extent
1 online resource (xxxv, 887 pages)
Form of item
online
Isbn
9781139527873
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
illustrations
.b35100096
Sound
unknown sound
Specific material designation
remote
System control number
• (OCoLC)823741877
• pebcl113904320X

#### Library Locations

• Deakin University Library - Geelong Waurn Ponds Campus
75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
-38.195656 144.304955