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Applied Time Series Econometrics

Lutkepohl, Helmut ; Kratzig, Markus Lütkepohl, Helmut ; Krätzig, Markus

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Título:
Applied Time Series Econometrics
Autor: Lutkepohl, Helmut ; Kratzig, Markus
Lütkepohl, Helmut ; Krätzig, Markus
Assuntos: Econometrics ; Mathematical models ; Time-series analysis
Descrição: 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.
Títulos relacionados: Themes in modern econometrics
Editor: Cambridge: Cambridge University Press
Data de criação/publicação: 2004
Formato: 351
Idioma: Inglês

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