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Econometric Modelling with Time Series : Specification, Estimation and Testing / Vance Martin

By: Contributor(s): Series: themes in modern econometric | Yapı Kredi Yayınları ; 3993Publisher: 2013Description: xxxv,887p : ill ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 9780521139816
Subject(s):
DDC classification:
  • 22 330.015 MAR
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Item type Current library Call number Copy number Status Date due Barcode
Book Open Access Book Open Access Natural Resources and Environmental Sciences Library 330.015 MAR (Browse shelf(Opens below)) 1 Available 0018374


Preface xxxi
1. The maximum Livelihood Principle 3
2. Properties of Maximum Livelihood Estimators 33
3. Numerical Estimation methods 87
4. Hypothesis Testing 119
5. Linear Regression Models 157
6. Nonlinear Regression Models 194
7. Autocorrelated Regression Models 228
8. Heteroskedastic Regression models 272
9. Quasi Maximum Livelihood Estimation 307
10. Generalized Method of moments 352
11. Nonparametric Estimation 392
12. Estimation by simulation 432
13. Linear Time Series models 467
14. structural Vector Autoregressions 512
15. Latent Factor models 544
16. Nonstationary Distribution Theory 583
17. unit Root Testing 619
18. Cointegration 662
19. Nonlinearities in Mean 715
20. Nonlinearities in Variance 758
21. Discrete Time series models 812
Apendix A-D
Includes bibliographical references (p. 125) and index.

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