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Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models ePub download

by Herman J. Bierens

  • Author: Herman J. Bierens
  • ISBN: 0521565111
  • ISBN13: 978-0521565110
  • ePub: 1302 kb | FB2: 1817 kb
  • Language: English
  • Category: Economics
  • Publisher: Cambridge University Press (February 23, 1996)
  • Pages: 272
  • Rating: 4.2/5
  • Votes: 666
  • Format: azw rtf mobi lit
Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models ePub download

PDF This book, Topics in Advanced Econometrics, is written primarily as a textbook for an advanced graduate econometrics course.

PDF This book, Topics in Advanced Econometrics, is written primarily as a textbook for an advanced graduate econometrics course  . the consistent test of Bierens (1987a) of parametric time series models that has. thestandard normal limitdistribution+deling theory. of Chapter 7 plays a key role in justifying this test+The last section of this chapter. discusses an autocorrelation test of the errors of nonlinear ARMAX models+The.

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.

Topics in Advanced Econometrics book.

Estimation, Testing, and Specification of Cross-Section and Time Series Models. This book has been cited by the following publications. Bierens, Herman J. 2000. Nonparametric Nonlinear Cotrending Analysis, With an Application to Interest and Inflation in the United States

Estimation, Testing, and Specification of Cross-Section and Time Series Models. This list is generated based on data provided by CrossRef. Erhaltene Bücher - Livres reçus - Books Received. Nonparametric Nonlinear Cotrending Analysis, With an Application to Interest and Inflation in the United States. Journal of Business & Economic Statistics, Vol. 18, Issue.

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 extensive and thorough treatment of the necessary probability theory. Professor Bierens' study is uniquely self-contained, providing the reader with a selection of the latest developments in econometric theory, along with the required introductory material on each topic.

Book Description This graduate. book is the use ofartificial regressions for estimation, inference, and specification testing ofnonlinear models Topics for Applied Econometrics Class. 8 - ARMAX models: estimation and testing - University Publishing. Bierens - Department of Economics Home Page Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models, Cambridge University Press (xii + 258 pages), 1994. J. of cross-section, time-series, and. Estimation of Time Series Models (April.

Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time . Articles and book chapters.

Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models, Cambridge University Press (xii + 258 pages), 1994. Robust Methods and Asymptotic Theory in Nonlinear Econometrics, Springer-Verlag (ix + 198 pages), 1981. Consistency and Asymptotic Normality of Sieve ML Estimators Under Low-Level Conditions", Econometric Theory 30, 2014, 1021-1076.

Bierens, Herman J. (1994). Topics in Advanced Econometrics : Estimation, Testing, and Specification of Cross-section and Time Series Models. New York: Cambridge University Press. ISBN 978-0-521-41900-0. Hamilton, James D. Time Series Analysis. Princeton University Press. ISBN 978-0-691-04289-3. Hayashi, Fumio (2000).

Bierens HJ (1994) Topics in advanced econometrics: Estimation, testing, and specification of cross-section and time series models. Cambridge University Press, gle Scholar. Bierens HJ, Ploberger W (1997) Asymptotic theory of integrated conditional moment tests. Econometrica, 65: 1129–1151CrossRefGoogle Scholar. Cite this chapter as: Bierens . 2002) Integrated Conditional Moment testing of quantile regression models. In: Fitzenberger . Koenker . Machado . eds) Economic Applications of Quantile Regression. Studies in Empirical Economics.

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.
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