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Stan Hurn的圖書 |
$ 2515 電子書 | Econometric Modelling with Time Series
作者:Vance Martin,Stan Hurn,David Harris 出版社:Cambridge University Press 出版日期:2012-12-28 語言:英文 樂天KOBO - 經濟學 - 來源網頁   看圖書介紹 |
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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. 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 econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric 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.
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