Title: Topics in advanced econometrics : estimation, testing, and specification of cross-section and time series models /
Authors: Bierens, Herman J., 1943-
Publisher: Cambridge University Press,
Year: 1994
Subjects: Econometrics.
Abstract: "In this book Herman Bierens provides a mathematically rigorous treatment of a number of timely topics in advanced econometrics. His subjects include nonlinear estimation, maximum likelihood theory, ARMA and ARMAX models, unit roots and cointegration, and nonparametric regression, together with an expensive 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."--BOOK JACKET.
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.