Applied Time Series Econometrics
Time series econometrics is a rapidly evolving field. In particular, the cointegration revolution has had a substantial impact on applied analysis. As a consequence of the fast pace of development, there are no textbooks that cover the full range of methods in current use and explain how to proce...
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| Những tác giả chính: | , |
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
| Được phát hành: |
Cambridge University Press
2012
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| Những chủ đề: | |
| Truy cập trực tuyến: | http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/30583 |
| Các nhãn: |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
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| Tóm tắt: | Time series econometrics is a rapidly evolving field. In particular, the cointegration
revolution has had a substantial impact on applied analysis. As a consequence of
the fast pace of development, there are no textbooks that 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 briefly to
remind the reader of the ideas underlying them and to give sufficient background for
empirical work. The volume can be used as a textbook for a course on applied time
series econometrics. The coverage of topics follows recent methodological developments.
Unit root and cointegration analysis play a central part. Other topics include
structural vector autoregressions, conditional heteroskedasticity, and nonlinear and
nonparametric time series models. A crucial component in empirical work is the
software that is available for analysis. New methodology is typically only gradually
incorporated into the existing software packages. Therefore a flexible Java interface
has been created that allows readers to replicate the applications and conduct their
own analyses. |
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