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Topics in Advanced Econometrics

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


  • Date Published: May 1996
  • availability: Available
  • format: Paperback
  • isbn: 9780521565110

£ 31.99

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About the Authors
  • 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. It will be of great use to graduate students of econometrics and statistics, and is particularly suitable for self-tuition.

    • Offers a rigorous treatment of topical subjects in advanced econometrics, with all the necessary background; designed for self-tuition
    • Highly successful book, available in paperback for the first time
    • Bierens is a well-known econometrician, widely published in journals and a high-profile member of the Econometric Society
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    Product details

    • Date Published: May 1996
    • format: Paperback
    • isbn: 9780521565110
    • length: 272 pages
    • dimensions: 229 x 152 x 16 mm
    • weight: 0.4kg
    • contains: 5 tables
    • availability: Available
  • Table of 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.

  • Author

    Herman J. Bierens, Southern Methodist University, Texas

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