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Applied Time Series Econometrics - 04 edition

Applied Time Series Econometrics (ISBN10: 0511208448; ISBN13: 9780511208447)
ISBN13: 978-0511208447
ISBN10: 0511208448

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 tr ...show moreeatment 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. ...show less

Edition/Copyright: 04
Cover: Paperback
Publisher: Cambridge University Press
Year Published: 2004
International: No

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