Titre : 
Econometric modelling with time series : specification, estimation and testing 
Type de document : 
Livre 
Auteurs : 
Vance L MARTIN (1955....), Auteur ; David HARRIS, Auteur ; Stan HURN, Auteur 
Editeur : 
Cambridge University Press 
Année de publication : 
2013 
Collection : 
Themes in modern econometrics 
Importance : 
887 p. 
Présentation : 
ill. 
Format : 
25 cm 
ISBN/ISSN/EAN : 
9780521196604 
Langues : 
Anglais (eng) 
Motsclés : 
Management ECONOMETRIE ; STATISTIQUE MATHEMATIQUE

Index. décimale : 
331.23 ECONOMETRIE 
Résumé : 
"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and fullinformation maximum likelihood. In deriving the maximum likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasimaximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulationbased estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn" 
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