Introduction to Modern Time Series Analysis
Econometrics has been developing rapidly over the past four decades. This is not only true for microeconometrics which more or less originated during this period, but also for time series econometrics where the cointegration revolution influenced applied work in a substantial manner. Economists...
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| Những tác giả chính: | , |
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
| Được phát hành: |
Springer
2012
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| Những chủ đề: | |
| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/30576 |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
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| Tóm tắt: | Econometrics has been developing rapidly over the past four decades. This
is not only true for microeconometrics which more or less originated
during this period, but also for time series econometrics where the
cointegration revolution influenced applied work in a substantial manner.
Economists have been using time series for a very long time. Since the
1930s when econometrics became an own subject, researchers have mainly
worked with time series. However, economists as well as econometricians
did not really care about the statistical properties of time series. This
attitude started to change in 1970 with the publication of the textbook Time
Series Analysis, Forecasting and Control by GEORGE E.P. BOX and
GWILYM M. JENKINS. The main impact, however, stems from the work of
CLIVE W.J. GRANGER starting in the 1960s. In 2003 together with ROBERT
W. ENGLE, he received the Nobel Prize in Economics for his work. |
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