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Applied Time Series Econometrics

Language EnglishEnglish
Book Hardback
Book Applied Time Series Econometrics Helmut LütkepohlMarkus Krätzig
Libristo code: 02046322
Publishers Cambridge University Press, August 2004
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has... Full description
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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.

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About the book

Full name Applied Time Series Econometrics
Author Helmut LütkepohlMarkus Krätzig
Language English
Binding Book - Hardback
Date of issue 2004
Number of pages 352
EAN 9780521839198
ISBN 052183919X
Libristo code 02046322
Publishers Cambridge University Press
Weight 718
Dimensions 163 x 234 x 29

Categories

Economics, Finance, Business & Management > Economics > Econometrics & economic statistics
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