Topics in advanced econometrics
Subtitle: estimation, testing, and specification of cross-section and time series models
By: Herman J. Bierens.
Publisher: Cambridge University Press
Published: 1994
Place of publication: Cambridge [England]; New York, NY, USA
Language: eng
Number of pages: 258
Subjects: Econometrics.
Description: "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.
Notes: Includes bibliographical references (p. 248-255) and index.