IMPORTANT MESSAGE: We are relocating warehouses on Tuesday, 4th April. Our last orders will be dispatched on Monday, 3rd April and we will resume dispatch on Thursday, 6th April. Back-Orders and Express Orders may be delayed if ordered during this period. If you are unsure regarding your order, please send us an email on: firstname.lastname@example.org and we will get back to you as soon as possible
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.