Econometric Modelling with Time Series
Autor
Vance Martin (University Of Melbourne)
, Stan Hurn (Queensland University Of Technology)
, David Harris (Monash University, Victoria)
This book 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 quasi-maximum likelihood estimation, generalised method of moments estimation, nonparametric estimation and estimation by simulation.