Econometric Modelling with Time Series: Specification, Estimation and Testing

Part I. Maximum Likelihood: 1. The maximum likelihood principle 2. Properties of maximum likelihood estimators 3. Numerical estimation methods 4. Hypothesis testing Part II. Regression Models: 5. Linear regression models 6. Nonlinear regression models 7. Autocorrelated regression models 8. Heteroskedastic regression models Part III. Other Estimation Methods: 9. Quasi-maximum likelihood estimation 10. Generalized method of moments 11. Nonparametric estimation 12. Estimation by stimulation Part IV. Stationary Time Series: 13. Linear time series models 14. Structural vector autoregressions 15. Latent factor models Part V. Non-Stationary Time Series: 16. Nonstationary distribution theory 17. Unit root testing 18. Cointegration Part VI. Nonlinear Time Series: 19. Nonlinearities in mean 20. Nonlinearities in variance 21. Discrete time series models Appendix A. Change in variable in probability density functions Appendix B. The lag operator Appendix C. FIML estimation of a structural model Appendix D. Additional nonparametric results.

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