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Advanced Texts in Econometrics

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  1. Bayesian Inference in Dynamic Econometric Models

    Bayesian Inference in Dynamic Econometric Models

    Luc Bauwens, Michel Lubrano, Jean-François Richard · 2000

  2. Finite Sample Econometrics

    Finite Sample Econometrics

    Aman Ullah · 2004

  3. Generalized Method of Moments

    Generalized Method of Moments

    Alastair R. Hall · 2004

  4. Dynamic Econometrics

    Dynamic Econometrics

    David F. Hendry · 1995

  5. Workbook on Cointegration

    Workbook on Cointegration

    Peter Reinhard Hansen, Søren Johansen · 1998

  6. Long-Run Economic Relationships

    Long-Run Economic Relationships

    R. F. Engle, C. W. J. Granger · 1991

  7. Modelling Economic Series

    Modelling Economic Series

    C. W. J. Granger · 1991

  8. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

    Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

    Anindya Banerjee, Juan J. Dolado, John W. Galbraith, David Hendry · 1993

  9. Periodic Time Series Models

    Periodic Time Series Models

    Philip Hans Franses, Richard Paap · 2004

  10. Modelling Seasonality

    Modelling Seasonality

    Hylleberg, Hylleberg · 1992

  11. Modelling Non-Linear Economic Relationships

    Modelling Non-Linear Economic Relationships

    Granger, Teräsvirta · 1993

  12. Time-Series-Based Econometrics

    Time-Series-Based Econometrics

    Michio Hatanaka · 1996

  13. Panel Data Econometrics

    Panel Data Econometrics

    Manuel Arellano, M. Arellano, G. Imbens · 2003

  14. Non-Stationary Time Series Analysis and Cointegration

    Non-Stationary Time Series Analysis and Cointegration

    Hargreaves, Hargreaves · 1994

  15. Testing Exogeneity

    Testing Exogeneity

    Ericsson, Irons · 1995

  16. ARCH: Selected Readings

    ARCH: Selected Readings

    Engle, Engle · 1995

  17. The Econometrics of Macroeconomic Modelling

    The Econometrics of Macroeconomic Modelling

    Gunnar Bårdsen, Øyvind Eitrheim, Eilev Jansen, Ragnar Nymoen · 2005

  18. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

    Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

    Søren Johansen · 1995

  19. Periodicity and Stochastic Trends in Economic Time Series

    Periodicity and Stochastic Trends in Economic Time Series

    Franses · 1996

  20. Micro-Econometrics for Policy, Program and Treatment Effects

    Micro-Econometrics for Policy, Program and Treatment Effects

    Myoung-jae Lee · 2005

  21. Stochastic Volatility

    Stochastic Volatility

    Neil Shephard · 2005

  22. The Cointegrated VAR Model

    The Cointegrated VAR Model

    Katarina Juselius · 2006

  23. Time Series with Long Memory

    Time Series with Long Memory

    Robinson, Robinson · 2003

  24. Readings in Unobserved Components Models

    Readings in Unobserved Components Models

    Harvey, Proietti · 2005

  25. Volatility and Time Series Econometrics

    Volatility and Time Series Econometrics

    Tim Bollerslev, Tim Bollerslev, Jeffrey Russell, Mark Watson · 2010

  26. Modelling Nonlinear Economic Time Series

    Modelling Nonlinear Economic Time Series

    Timo Teräsvirta, Dag Tjøstheim, Clive W. J. Granger · 2010