This book provides a general framework for specifying, estimating, and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation, nonparametric estimation, and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.


我个人认为，这本书对于需要学习计量经济学难度水平时间序列的同学比较合适，（当然深入掌握时间序列需要学Brockwell，Davis那本）。而且我觉得这本书写的比较好，例子也很多。


压缩文件中包括pdf格式的书，还有所有例题和练习的程序（Matlab，R各一套），外加所有数据。


论坛里这本书有免费下载的，另外所有程序和数据也可以从作者的网站上找到。对于论坛币少得同学，可以搜一下，然后下载免费的。对于论坛币比较多的同学，并且嫌麻烦到处找，可以花4个论坛币，在这里一并下载。这里挣个整理的辛苦钱：）


谢谢大家