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Preface

Published online by Cambridge University Press:  05 January 2013

Vance Martin
Affiliation:
University of Melbourne
Stan Hurn
Affiliation:
Queensland University of Technology
David Harris
Affiliation:
Monash University, Victoria
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Summary

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 quasimaximum likelihood estimation, generalised method of moments, nonparametrics 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 is very concerned with implementation issues in order to provide a fast track between theory and applied work. Consequently many of the econometric methods discussed in the book are illustrated by means of a suite of programs written in GAUSS, MATLABR® and R. The computer code emphasises the computational side of econometrics and follows the notation in the book as closely as possible, thereby reinforcing the principles presented in the text. More generally, the computer code also helps to bridge the gap between theory and practice by enabling the reproduction of both theoretical and empirical results published in recent journal articles. The reader, as a result, may build on the code and tailor it to more involved applications.

Type
Chapter
Information
Econometric Modelling with Time Series
Specification, Estimation and Testing
, pp. xxxi - xxxvi
Publisher: Cambridge University Press
Print publication year: 2012

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  • Preface
  • Vance Martin, University of Melbourne, Stan Hurn, Queensland University of Technology, David Harris, Monash University, Victoria
  • Book: Econometric Modelling with Time Series
  • Online publication: 05 January 2013
  • Chapter DOI: https://doi.org/10.1017/CBO9781139043205.002
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Save book to Dropbox

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  • Preface
  • Vance Martin, University of Melbourne, Stan Hurn, Queensland University of Technology, David Harris, Monash University, Victoria
  • Book: Econometric Modelling with Time Series
  • Online publication: 05 January 2013
  • Chapter DOI: https://doi.org/10.1017/CBO9781139043205.002
Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • Preface
  • Vance Martin, University of Melbourne, Stan Hurn, Queensland University of Technology, David Harris, Monash University, Victoria
  • Book: Econometric Modelling with Time Series
  • Online publication: 05 January 2013
  • Chapter DOI: https://doi.org/10.1017/CBO9781139043205.002
Available formats
×