Applied econometric time series
著者
書誌事項
Applied econometric time series
(Wiley series in probability and mathematical statistics, . Probability and mathematical statistics)
Wiley, c1995
- : Wiley international ed
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注記
Includes bibliographical references (p. 423-426) and indexes
内容説明・目次
- 巻冊次
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ISBN 9780471039419
内容説明
This advanced text for a course on time series econometrics introduces modern time series analyses through the use of wide-ranging examples and applications. Providing a balance between macro and microeconomic applications, the book covers recent work in non-stationary time series that has only been published in journals, including unit-root test, ARCH models and co-integration/error-correction models. VAR analysis has been added as well as examples from different sources; the examples include Exchange Rate determination, the theory of purchasing power parity, and transnational terrorism.
目次
Difference Equations. Stationary Time-Series Models. Modeling Economic Time Series: Trends and Volatility. Testing for Trends and Unit Roots. Multiequation Time-Series Models. Cointegration and Error-Correction Models. Statistical Tables. References. Indexes.
- 巻冊次
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: Wiley international ed ISBN 9780471111634
内容説明
This advanced text for a course on time series econometrics introduces modern time series analyses through the use of wide-ranging examples and applications. Providing a balance between macro and microeconomic applications, the book covers recent work in non-stationary time series that has only been published in journals, including unit-root test, ARCH models and co-integration/error-correction models. VAR analysis has been added as well as examples from different sources; the examples include Exchange Rate determination, the theory of purchasing power parity, and transnational terrorism.
目次
- Difference Equations
- Stationary Time Series Models
- Modelling Economic Time Series: Trends and Volatility
- Testing for Trends and Unit Roots
- Multi-Equation Time Series Models
- Cointegration and Error-Correction Models
- Statistical Tables.
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