Econometric Modelling with Time Series: Specification, Estimation and Testing
Vance Martin, University of Melbourne;
Stan Hurn, Queensland University of Technology;
David Harris, Monash University
Cambridge University Press, 2012
ISBN: 978-0-521-13981-6;
Language: English
Written for graduate students, Econometric Modelling with Time Series 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 quasimaximum likelihood estimation, generalized method of moments estimation, nonparametric estimation, and estimation by simulation.
MATLAB, Econometrics Toolbox, Optimization Toolbox, Statistics and Machine Learning Toolbox are used to solve examples in the text.
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