specification, estimation and testing Martin, Vance 1955- creator Harris, David 1969- Hurn, Stan. text bibliography Electronic books. enk Cambridge New York Cambridge University Press 2013 monographic eng

electronic resource

1 online resource (xxxv, 887 p.) : ill. "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 full-information 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 quasi-maximum 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, simulation-based 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"-- "This book provides a general framework for specifying, estimating, and testing time series econometric models"-- The maximum likelihood principle -- Properties of maximum likelihood estimators -- Numerical estimation methods -- Hypothesis testing -- Linear regression models -- Nonlinear regression models -- Autocorrelated regression models -- Heteroskedastic regression models -- Quasi-maximum likelihood estimation -- Generalized method of moments -- Nonparametric estimation -- Estimation by stimulation -- Linear time series models -- Structural vector autoregressions -- Latent factor models -- Nonstationary distribution theory -- Unit root testing -- Cointegration -- Nonlinearities in mean -- Nonlinearities in variance -- Discrete time series models. Vance Martin, Stan Hurn, David Harris. Includes bibliographical references and indexes. Econometric models Time-series analysis HB141 .M3555 2013 1139530151 9781139530156 E7B 130328 20201002113707.0 b10572089 eng