Time series econometrics : a concise introduction
著者
書誌事項
Time series econometrics : a concise introduction
（Palgrave texts in econometrics）
Palgrave Macmillan, 2015
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.
目次
1. Introduction
2. Modelling Stationary Time Series: the ARMA Approach
3. Non-stationary Time Series: Differencing and ARIMA Modelling
4. Unit Roots and Related Topics
5. Modelling Volatility using GARCH Processes
6. Forecasting with Univariate Models
7. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality
8. Cointegration in Single Equations
9. Cointegration in Systems of Equations
10. Extensions and Developments
Index
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