Time Series Econometrics

AvKlaus Neusser

Inbunden, Engelska, 2025

Del i serien Springer Texts in Business and Economics

1 174 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt över 249 kr.

Fler format och utgåvor

Inbunden

1 416 kr

Häftad

1 105 kr

Beskrivning

The second part of the text is devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics.

Produktinformation

Utgivningsdatum:2025-05-21
Mått:155 x 235 x 30 mm
Vikt:844 g
Format:Inbunden
Språk:Engelska
Serie:Springer Texts in Business and Economics
Antal sidor:429
Upplaga:2
Förlag:Springer International Publishing AG
ISBN:9783031888373

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Matematisk statistik inom Naturvetenskap och teknik
Makroekonomi inom Ekonomi och Ledarskap

Mer om författaren

Klaus Neusser is Professor Emeritus of Macroeconomics and Econometrics at the University of Bern. He studied economics and mathematics at the Vienna University of Technology, obtained his habilitation at the University of Vienna, and spent further study periods at the International Institute for Applied Systems Analysis (IIASA), the University of Chicago, Northwestern University as visiting assistant professor, and Stanford University (Hoover Institution). Recently, he was director of the Institute of Advanced Studies (IHS) in Vienna.

Innehållsförteckning

Introduction.- ARMA models.- Forecasting stationary processes.- Estimation of Mean and Autocovariance Function.- Estimation of ARMA Models.- Spectral Analysis and Linear Filters.- Integrated Processes.- Models of Volatility.- Multivariate Time series.- Estimation of Covariance Function.- VARMA Processes.- Estimation of VAR Models.- Forecasting with VAR Models.- Interpretation of VAR Models.- Cointegration.- The Kalman Filter.- Appendices.