Econometric Modelling with Time Series

Vance Martin is Professor of Econometrics at the University of Melbourne, Australia, a position he has held since 2000. He graduated with a PhD from Monash University in 1990. He was appointed Lecturer at the University of Melbourne in 1985 and became a Senior Lecturer in 1990. Stan Hurn is Professor of Economics and Finance at Queensland University of Technology, Australia, a position he has held since 1998. He graduated with a DPhil in Economics from St Edmund Hall, Oxford, in 1992. He was appointed Lecturer at the University of Glasgow in 1988 and became a Senior Lecturer in 1993 before being named Official Fellow in Economics at Brasenose College, Oxford, in 1996. David Harris is Professor of Econometrics at Monash University, Australia. He was awarded his PhD in Econometrics from Monash University in 1995. He was lecturer in econometrics from 1995 to 1997 at Monash University and from 1998 to 2010 at the University of Melbourne.

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.