Applied Time Series Econometrics pdf (0521547873)

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Author: Helmut Lütkepohl (Editor), Markus Krätzig (Editor)
Publisher: Cambridge University Press
ISBN: 0521547873
Pages: 350

Product Details

Paperback: 350 pages
Publisher: Cambridge University Press; illustrated edition edition (August 4, 2004)
Language: English
ISBN-10: 0521547873
ISBN-13: 978-0521547871

Product Description

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 treatment can also 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 felxible Java interface has been created that allows readers to replicate the applications and conduct their own analyses.

Book Description

Time series econometrics is used for example for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. For this purpose a model has to be constructed to describe the data generation process and its parameters have to be estimated. Modern tools for these tasks are provided in this volume and it is demonstrated by example how the tools can be put to work.

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	Economics/Finances Methodology and Tacit Knowledge: Two Experiments in Econometrics (Wiley Series in Applied Econometrics) Methodology and Tacit Knowledge: Two Experiments in Econometrics (Wiley Series in Applied Econometrics)Publisher: CRC \| ISBN: 0471982970 \| edition 1999 \| PDF \| 426 pages \| 2,67 mb"Econometrics textbooks see their subject as a set of techniq ...
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