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Introduction to Modern Time Series Analysis

Introduction to Modern Time Series Analysis

by Gebhard KirchgässnerJürgen Wolters and Uwe Hassler
Paperback
Publication Date: 09/11/2013
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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. 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.

 

ISBN:
9783642440298
9783642440298
Category:
Economic statistics
Format:
Paperback
Publication Date:
09-11-2013
Language:
English
Publisher:
Springer
Country of origin:
United States
Edition:
2nd Edition
Dimensions (mm):
235x155mm
Weight:
5.04kg

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