Time Series Econometrics

Prof. Klaus Neusser

“Neusser offers an important addition to the market for books on time series econometrics, and definitely fills a gap within the market and complements existing offerings. This is an excellent effort, and I have enjoyed the book.” (Benjamin Wong, Economic Record, Vol. 95 (310), September, 2019)“The present monograph is a practical and comprehensive introduction to an area that lies at the core of econometrics. … It requires minimal prerequisites, and is almost surely accessible to senior undergraduate or beginning graduate students, and certainly to independent researchers … . I find this book to be a valuable addition to the monographic literature on time series.” (Giuseppe Castellacci, Mathematical Reviews, October, 2017)

• 1. Introduction.- 2. ARMA models.- 3. Forecasting stationary processes.- 4. Estimation of Mean and Autocovariance Function.- 5.Estimation of ARMA Models.- 6. Spectral Analysis and Linear Filters.- 7. Integrated Processes.- 8. Models of Volatility.- 9. Multivariate Time series.- 10. Estimation of Covariance Function.- 11. VARMA Processes.- 12. Estimation of VAR Models.- 13. Forecasting with VAR Models.- 14. Interpretation of VAR Models.- 15. Co-integration.- 16. The Kalman Filter.- 17. Appendices.