Time Series Econometrics

AvKlaus Neusser

Häftad, Engelska, 2018

Del i serien Springer Texts in Business and Economics

1 095 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt över 249 kr.

Fler format och utgåvor

Inbunden

1 164 kr

Inbunden

1 416 kr

Beskrivning

The second part of the text 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:2018-05-30
Mått:155 x 235 x 27 mm
Vikt:664 g
Format:Häftad
Språk:Engelska
Serie:Springer Texts in Business and Economics
Antal sidor:409
Förlag:Springer International Publishing AG
ISBN:9783319813875

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Makroekonomi inom Ekonomi och Ledarskap

Mer om författaren

Prof. Klaus Neusser

Recensioner i media

“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)

Innehållsförteckning

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.