Book

Topics in Advanced Econometrics:

Estimation, Testing, and Specification of Cross-Section and Time Series Models

Herman J. Bierens

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

Read the review in Econometric Theory 14, 1998, by Yoon-Jae Whang.


Little house Back to my home (page)