Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models / Edition 1

by Herman J. Bierens

Overview

This book provides a rigorous examination of a number of timely topics in advanced econometrics, together with an extensive and thorough treatment of the necessary probability theory. The book is uniquely self-contained, providing the reader with a selection of the latest developments in econometric theory, plus the required introductory material on each topic. It will be used by graduate students of econometrics and statistics, and is particularly suitable for self-tuition.

Product Details

ISBN-13:	9780521565110
Publisher:	Cambridge University Press
Publication date:	02/23/1996
Edition description:	New Edition
Pages:	272
Product dimensions:	5.98(w) x 8.98(h) x 0.63(d)

Table of Contents

1. Basic probability theory; 2. Convergence; 3. Introduction to conditioning; 4. Nonlinear parametric regression analysis and maximum likelihood theory; 5. Tests for model misspecification; 6. Conditioning and dependence; 7. Functional specification of time series models; 8. ARMAX models: estimation and testing; 9. Unit roots and cointegration; 10. The Nadaraya-Watson kernel regression function estimator.