Applied Time Series Econometrics

Book Name : Applied Time Series Econometrics

By by Helmut Lütkepohl, Markus Krätzig

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Written by : by Helmut Lütkepohl, Markus Krätzig

Subject Category : Academic Business

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about this book

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. Cambridge University Press; August 2004 ISBN 9780511208447 Read online, or download in secure PDF or secure EPUB format Title: Applied Time Series Econometrics Author: Helmut Lütkepohl (ed.); Markus Krätzig (ed.) Imprint: Cambridge University Press Subject categories Academic Business > Econometrics Business > Economics Economics > Economics as a science Business > Finance Formal Sciences Business > Information Management Science > Physics Mathematics > Probability & Statistics Science > Thermodynamics Statistics > Theory and method of social science statistics > Time-series analysis ISBNs 0511208448 9780521839198 9780511208447 9781107713734

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Related subjects

Academic Business - Econometrics Business - Economics Economics - Economics as a science Business - Finance Formal Sciences Business - Information Management Science - Physics Mathematics - Probability & Statistics Science - Thermodynamics Statistics - Theory and method of social science statistics - Time-series analysis

ISBN

0511208448 - 9780521839198 - 9780511208447 - 9781107713734

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Imprint

Cambridge University Press