Analysis of Integrated and Co-Integrated Time Series with R

Bernhard Pfaff - Collection Use R!

140 pages, parution le 09/01/2006

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Résumé

The analysis of integrated and cointegrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces readers to this topic but also enables them to conduct the various unit root tests and cointegration methods by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and inference in co-integrated vector autoregressive models. The book is enriched by numerous programming examples to artificial and real data so that it is suitable as a supplementary text for computer lab classes.

L'auteur - Bernhard Pfaff

Bernhard Pfaff studied economics at the universities of Göttingen, Germany; Davis, California; and Freiburg im Breisgau, Germany. He obtained a diploma and a doctorate degree at the economics department of the last one where he was employed as a research and teaching assistant. He has worked for many years as economist and quantitative analyst in research departments of financial institutions. Bernhard Pfaff is the author and maintainer of the contributed R package "urca".

Sommaire

Theoretical Concepts
Unit Root Tests
Cointegration
List of Tables
List of Figures
List of Rcode
References
Name Index
Function Index
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Bernhard Pfaff
Collection	Use R!
Parution	09/01/2006
Nb. de pages	140
Format	15,5 x 23,5
Couverture	Broché
Poids	225g
Intérieur	Noir et Blanc
EAN13	9780387279596