Applied econometric techniques
著者
書誌事項
Applied econometric techniques
Harvester Wheatsheaf, 1992
- : pbk
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注記
Bibliography: p. 257-269
Includes index
内容説明・目次
内容説明
Attempting to bridge the gap between the theoretical literature and advanced applied work using time series data, this book emphasizes the intuitive aspects behind the theoretical results, and so provides insights into the solutions of real world applied problems. Recent theoretical innovations such as co-integration, error correction models, ARCH models, disequilibrium Maximum Likelihood models and the Kalman filter are discussed in a framework which builds on standard textbook econometrics. Applications of these theoretical developments are illustrated with real-world practical examples of model building. this book is designed for graduate students of econometrics.
目次
- Review of the general linear model
- maximum likelihood estimation
- time series modelling
- dynamic modelling
- non-stationary and co-integration
- rational expectations
- state space models and the Kalman filter
- large non-linear models.
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