Topics in Advanced Econometrics: Estimation, Testing and Specification of Cross-Section and Time Series Models
Herman J. BierensISBN: 0521565111; 9780521565110;
This book provides a rigorous examination of a number of timely topics in advanced econometrics, together with an extensive and thorough treatment of the necessary probability theory. The book is uniquely self-contained, providing the reader with a selection of the latest developments in econometric theory, plus the required introductory material on each topic. It will be used by graduate students of econometrics and statistics, and is particularly suitable for self-tuition.