Incluye referencias bibliográficas (páginas 371-379) e índices

Preface ; List of abbreviations ; 1. Introduction: 1.1. Estimation, testing and model selection ; 1.2. Time series observations ; 1.3. Mathematical and statistical preliminaries ; 1.4. Asymptotic theory ; 1.5. Time series analysis and model building ; 1.6. Econometric models -- 2. Regression: 2.1. Linear regression models ; 2.2. Least squares estimation ; 2.3. Properties of the ordinary least squares estimator ; 2.4. Generalised least squares ; 2.5. Prediction ; 2.6. Recursive least squares ; 2.7. Residuals ; 2.8. Test statistics and confidence intervals ; 2.9. Systems of equations: seemingly unrelated regression equations ; 2.10. Multivariate refression ; 2.11. The method of instrumental variables ; 2.12. Autoregression ; 3. The method of maximum likelihood ; 3.1. Introduction ; 3.2. Sufficiency and the cramér-Rao Lower Bound ; 3.3. Properties of the maximum likelihood estimator ; 3.4. Maximum likelihood estimation of regression models ; 3.5. Dependent observations ; 3.6. Identifiability ; 3.7. Robustness -- 4. Numerical optimization: 4.1. Introduction ; 4.2. Principles of numerical optimisations ; 4.3. Newton-Raphson ; 4.4. Maximisation of a likelihood function ; 4.5. Two-step estimators ; 4.6. Test statistics and confidence intervals -- 5. Test procedures and model selection: 5.1. Introduction ; 5.2. Tests of misspecification ; 5.3. Classical est procedures: the likelihood ratio tests ; 5.4. Wald tests ; 5.5. The langrange multiplier test ; 5.6. Non-nested models ; 5.7. Post-sample predictive testing ; 5.8. A strategy of model selection -- 6 Refression models with serially correlated disturbances: 6.1. First order autoregressive disturbances ; 6.2. Comparison of estimators ; 6.3. Testing for first order autoregressive disturbances ; 6.4. Higher order autoregressive disturbances ; 6.5. Moving average and mixed disturbances ; 6.6. Tests against serial correlation ; 6.7. Prediction ; 6.8. Systems of equations ; 6.9. Arch disturbances -- 7. Dynamic models I: 7.1. Introduction ; 7.2. Systematic dynamics M 7.3. Estimation of transfer function models with independent disturbances ; 7.4. Serial correlation ; 7.5. Model selection ; 7.6. Trend and seasonality ; 7.7. Prediction and forecasting ; 7.8. Polynomial distributed lags -- 8 Dynamic models II: Stochastic difference equations: 8.1. Introduction 8.2. Estimation ; 8.3. Testing for serial correlation ; 8.4. Model selection ; 8.5. Error correction models and co-integration ; 8.6. Systems of equations ; 8.7 Causality ; 8.8 Exogeneity ; 9. Simultaneous equation models: 9.1. Introduction ; 9.2. Identifiability ; 9.3. Maximum likelihood estimation ; 9.4. Two-stage and three-stage least squares ; 9.5. Testing the validity of restrictions on the model ; 9.6. Dynamic models ; 9.7. Estimation and identification of Dynamic models ; 9.8. Forecasting, prediction and control -- Appendix on matrix algebra -- Tables -- Answes to selected ecercises -- References -- Subject index -- Author index.