Analysis of integrated and cointegrated time series with R
著者
書誌事項
Analysis of integrated and cointegrated time series with R
（Use R! / series editors, Robert Gentleman, Kurt Hornik, Giovanni Parmigiani）
Springer, c2006
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注記
Includes bibliographical references (p. [127]-132) and indexes
内容説明・目次
内容説明
The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and co-integration methods on his own by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and multivariate time series models.The book is enriched by numerous programming examples to artificial and real data so that it is ideally suited as an accompanying text book to computer lab classes. The second edition adds a discussion of vector auto-regressive, structural vector auto-regressive, and structural vector error-correction models. To analyse the interactions between the investigated variables, further impulse response function and forecast error variance decompositions are introduced as well as forecasting. The author explains how these model types relate to each other.
目次
Stationary ARMA processes.- Nonstationary time series.- Co-integration.- Testing for the order of integration.- Further considerations.- Single equation methods.- Multiple equation methods.
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