Econometric Modelling with Time Series: Specification, Estimation and Testing, Vance Martin, Stan Hurn and David Harris (original) (raw)

Econometric modelling with time series: SpeciÞ cation, Estimation, and Testing is a graduate textbook covering a broad range of topics in time series econometrics. The book is unique and valuable in three aspects. First, the book tries to bridge the gap between the purely theoretical view of time series analysis such as the one offered by Hamilton (1994) and applied approach offered by Enders (2015). Indeed, every chapter in approximately 30 pages provides enough theoretical background and rigorous asymptotic theory which is followed by two empirical examples, usually one taken from economics and one from Þ nance. Second, the focus of the book is on maximum likelihood estimation which makes it stand out among other books on time series analysis. Third, authors offer solutions for all examples and exercises from the book in three different software: GAUSS, MATLAB, and R. Most of empirical examples are also available in RATS. In order to follow the content of the book with ease, mathe...

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