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Econometric applications of maximum likelihood methods. (English) Zbl 0747.62111
Cambridge etc.: Cambridge University Press. xiii, 208 p. (1989).
With some delay, a paperback edition is published in addition to a hard cover version of this book. I mention this, because the paperback version makes this very fine book affordable to students as a complementary textbook. Both students and teachers are bound to gain from studying this book, which was written by an author with sound foundations in both econometric theory and empirical econometrics.
The book introduces the use of likelihood in econometrics and illustrates its use for a wide range, from generalized classical regression to time series and dynamic models, discrete choice models and mixed dependent models. The book does not (intend to) present “new” results and insights, but rather presents knowledge in a clear, concise way, with a feeling for historical developments.
The author discusses the rapid change of computing methods. This change has even accelerated since the hard cover version of the book was published first. Thus, if one may dare to say so much, the only thing missing in such a book is a description of available software.

MSC:
62P20 Applications of statistics to economics
62-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics
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