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Cover: 9780521196604 | Econometric Modelling with Time Series | Vance Martin (u. a.) | Buch
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Econometric Modelling with Time Series
Buch von Vance Martin (u. a.)
Sprache: Englisch

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Beschreibung
This book provides a general framework for specifying, estimating and testing time series econometric models.
This book provides a general framework for specifying, estimating and testing time series econometric models.
Über den Autor
Vance Martin is Professor of Econometrics at the University of Melbourne, Australia, a position he has held since 2000. He graduated with a PhD from Monash University in 1990. He was appointed Lecturer at the University of Melbourne in 1985 and became a Senior Lecturer in 1990.
Inhaltsverzeichnis
Part I. Maximum Likelihood: 1. The maximum likelihood principle; 2. Properties of maximum likelihood estimators; 3. Numerical estimation methods; 4. Hypothesis testing; Part II. Regression Models: 5. Linear regression models; 6. Nonlinear regression models; 7. Autocorrelated regression models; 8. Heteroskedastic regression models; Part III. Other Estimation Methods: 9. Quasi-maximum likelihood estimation; 10. Generalized method of moments; 11. Nonparametric estimation; 12. Estimation by stimulation; Part IV. Stationary Time Series: 13. Linear time series models; 14. Structural vector autoregressions; 15. Latent factor models; Part V. Non-Stationary Time Series: 16. Nonstationary distribution theory; 17. Unit root testing; 18. Cointegration; Part VI. Nonlinear Time Series: 19. Nonlinearities in mean; 20. Nonlinearities in variance; 21. Discrete time series models; Appendix A. Change in variable in probability density functions; Appendix B. The lag operator; Appendix C. FIML estimation of a structural model; Appendix D. Additional nonparametric results.
Details
Erscheinungsjahr: 2015
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
ISBN-13: 9780521196604
ISBN-10: 0521196604
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Martin, Vance
Hurn, Stan
Harris, David
Hersteller: Cambridge University Press
Maße: 235 x 157 x 54 mm
Von/Mit: Vance Martin (u. a.)
Erscheinungsdatum: 06.02.2015
Gewicht: 1,461 kg
Artikel-ID: 106379838
Über den Autor
Vance Martin is Professor of Econometrics at the University of Melbourne, Australia, a position he has held since 2000. He graduated with a PhD from Monash University in 1990. He was appointed Lecturer at the University of Melbourne in 1985 and became a Senior Lecturer in 1990.
Inhaltsverzeichnis
Part I. Maximum Likelihood: 1. The maximum likelihood principle; 2. Properties of maximum likelihood estimators; 3. Numerical estimation methods; 4. Hypothesis testing; Part II. Regression Models: 5. Linear regression models; 6. Nonlinear regression models; 7. Autocorrelated regression models; 8. Heteroskedastic regression models; Part III. Other Estimation Methods: 9. Quasi-maximum likelihood estimation; 10. Generalized method of moments; 11. Nonparametric estimation; 12. Estimation by stimulation; Part IV. Stationary Time Series: 13. Linear time series models; 14. Structural vector autoregressions; 15. Latent factor models; Part V. Non-Stationary Time Series: 16. Nonstationary distribution theory; 17. Unit root testing; 18. Cointegration; Part VI. Nonlinear Time Series: 19. Nonlinearities in mean; 20. Nonlinearities in variance; 21. Discrete time series models; Appendix A. Change in variable in probability density functions; Appendix B. The lag operator; Appendix C. FIML estimation of a structural model; Appendix D. Additional nonparametric results.
Details
Erscheinungsjahr: 2015
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
ISBN-13: 9780521196604
ISBN-10: 0521196604
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Martin, Vance
Hurn, Stan
Harris, David
Hersteller: Cambridge University Press
Maße: 235 x 157 x 54 mm
Von/Mit: Vance Martin (u. a.)
Erscheinungsdatum: 06.02.2015
Gewicht: 1,461 kg
Artikel-ID: 106379838
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