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Applied Time Series Econometrics

Applied Time Series Econometrics - 04 edition

ISBN13: 978-0511208447

Cover of Applied Time Series Econometrics 04 (ISBN 978-0511208447)
ISBN13: 978-0511208447
ISBN10: 0511208448
Edition: 04
Copyright: 2004
Publisher: Cambridge University Press
Published: 2004
International: No

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Applied Time Series Econometrics - 04 edition

ISBN13: 978-0511208447

Helmut Lutkepohl and Markus Kratzig

ISBN13: 978-0511208447
ISBN10: 0511208448
Edition: 04
Copyright: 2004
Publisher: Cambridge University Press
Published: 2004
International: No
USED
Sold Out
NEW
Sold Out
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.