Applied Time Series Econometrics

Markus Krätzig editor Helmut Lütkepohl editor

Format:Paperback

Publisher:Cambridge University Press

Published:4th Aug '04

Currently unavailable, and unfortunately no date known when it will be back

This paperback is available in another edition too:

Applied Time Series Econometrics cover

A demonstration of how time series econometrics can be used in economics and finance.

The cointegration revolution has had a substantial impact on applied analysis. The methods for conducting this analysis are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can be used as a textbook for courses on applied time series econometrics.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.

ISBN: 9780521547871

Dimensions: 229mm x 152mm x 20mm

Weight: 490g

352 pages