Applied time series econometrics / edited by Helmut Lütkepohl, Markus Krätzig.
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literatur...
Saved in:
| Online Access: |
Full Text (via ProQuest) |
|---|---|
| Other Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
Cambridge, UK ; New York :
Cambridge University Press,
2004.
|
| Series: | Themes in modern econometrics.
|
| Subjects: |
| Summary: | Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses. |
|---|---|
| Physical Description: | 1 online resource (xxv, 323 pages) : illustrations. |
| Bibliography: | Includes bibliographical references (pages 301-315) and index. |
| ISBN: | 0511208448 9780511208447 0511215606 9780511215605 0511217390 9780511217395 9780511606885 0511606885 9786610541164 6610541167 0521547873 9780521547871 1107713730 9781107713734 1280541164 9781280541162 1139130803 9781139130806 0511213794 9780511213793 |
| Language: | English. |
| Source of Description, Etc. Note: | Print version record. |