Tous nos rayons

Déjà client ? Identifiez-vous

Mot de passe oublié ?

Nouveau client ?

CRÉER VOTRE COMPTE
Applied Time Series Modelling and Forecasting

Librairie Eyrolles - Paris 5e
Indisponible

Applied Time Series Modelling and Forecasting

Applied Time Series Modelling and Forecasting

Richard Harris

312 pages, parution le 29/04/2003

Résumé

Applied Time Series Modelling and Forecasting provides a relatively non-technical introduction to applied time series econometrics and forecasting involving non-stationary data. The emphasis is very much on the why and how and, as much as possible, the authors confine technical material to boxes or point to the relevant sources for more detailed information.

This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris. As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series. Harris and Sollis have also incorporated as many of the latest techniques in the area as possible including: testing for periodic integration and cointegration; GLS detrending when testing for unit roots; structural breaks and season unit root testing; testing for cointegration with a structural break; asymmetric tests for cointegration; testing for super-exogeniety; seasonal cointegration in multivariate models; and approaches to structural macroeconomic modelling. In addition, the discussion of certain topics, such as testing for unique vectors, has been simplified.

Applied Time Series Modelling and Forecasting has been written for students taking courses in financial economics and forecasting, applied time series, and econometrics at advanced undergraduate and postgraduate levels. It will also be useful for practitioners who wish to understand the application of time series modelling e.g. financial brokers.

Contents

  • Introduction and Overview
  • Short- and Long-run Models
  • Testing for Unit Roots
  • Cointegration in Single Equations
  • Cointegration in Multivariate Systems
  • Modelling the Short-run Multivariate System
  • Panel Data Models and Cointegration
  • Modelling and Forecasting Financial Times Series
  • Appendix
  • Statistical Appendix
  • References

L'auteur - Richard Harris

Richard Harris is a Professor in the Department of Economics and Finance at the University of Durham. His areas of research are in the field of applied econometrics and he has published widely in numerous journals.

Caractéristiques techniques

  PAPIER
Éditeur(s) Wiley
Auteur(s) Richard Harris
Parution 29/04/2003
Nb. de pages 312
Format 16,8 x 24,4
Couverture Broché
Poids 520g
Intérieur Noir et Blanc
EAN13 9780470844434
ISBN13 978-0-470-84443-4

Avantages Eyrolles.com

Livraison à partir de 0,01 en France métropolitaine
Paiement en ligne SÉCURISÉ
Livraison dans le monde
Retour sous 15 jours
+ d'un million et demi de livres disponibles
satisfait ou remboursé
Satisfait ou remboursé
Paiement sécurisé
modes de paiement
Paiement à l'expédition
partout dans le monde
Livraison partout dans le monde
Service clients 0 321 79 56 75 sav@commande.eyrolles.com
librairie française
Librairie française depuis 1925