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- DescriptionThis book provides a general framework for specifying, estimating and testing time series ecometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalised method of moments estimation, nparametric estimation and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in ecometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing ecometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.
- Author BiographyVance 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. Stan Hurn is Professor of Economics and Finance at Queensland University of Technology, Australia, a position he has held since 1998. He graduated with a DPhil in Economics from St Edmund Hall, Oxford, in 1992. He was appointed Lecturer at the University of Glasgow in 1988 and became a Senior Lecturer in 1993 before being named Official Fellow in Economics at Brasenose College, Oxford, in 1996. David Harris is Professor of Econometrics at Monash University, Australia. He was awarded his PhD in Econometrics from Monash University in 1995. He was lecturer in econometrics from 1995 to 1997 at Monash University and from 1998 to 2010 at the University of Melbourne.
- Author(s)David Harris,Stan Hurn,Vance L. Martin
- PublisherCambridge University Press
- Date of Publication28/12/2012
- SubjectEconomics: Textbooks & Study Guides
- Series TitleThemes in Modern Econometrics
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Content Note104 b/w illus. 97 tables
- Weight1390 g
- Width152 mm
- Height228 mm
- Spine48 mm
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