Introduction to Modern Time Series Analysis
Second Edition 2013
Book Details
Format
Hardback or Cased Book
Book Series
Springer Texts in Business and Economics
ISBN-10
3642334350
ISBN-13
9783642334351
Edition
Second Edition 2013
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Country of Manufacture
DE
Country of Publication
GB
Publication Date
Oct 9th, 2012
Print length
320 Pages
Weight
650 grams
Dimensions
23.90 x 17.70 x 2.50 cms
Ksh 14,400.00
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This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications.
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
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