Applied Time Series Econometrics

Helmut Lütkepohl, Markus Krätzig - Collection Themes in modern econometrics

323 pages, parution le 06/10/2004

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Résumé

Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to 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, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.

Sommaire

Initial tasks and overview
Univariate time series analysis
Vector autoregressive and vector error correction models
Structural vector autoregressive modelling and impulse responses
Conditional heteroskedasticity
Smooth transition regression modelling
Nonparametric time series modelling
The software JMulTi

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Helmut Lütkepohl, Markus Krätzig
Collection	Themes in modern econometrics
Parution	06/10/2004
Nb. de pages	323
Format	15 x 23
Couverture	Broché
Poids	407g
Intérieur	Noir et Blanc
EAN13	9780521547871