Hidden Bibliographic Details
| Other authors / contributors: | Lütkepohl, Helmut.
Krätzig, Markus, 1974-
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| ISBN: | 0511208448
9780511208447
0511215606
9780511215605
0511217390
9780511217395
9780511606885
0511606885
9786610541164
6610541167
0521547873
9780521547871
9780511212024
9780521839198
9780521547871
051121202X
052183919X
0521547873
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| Digital file characteristics: | data file
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| Notes: | Includes bibliographical references (pages 301-315) and index.
Print version record.
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| Summary: | Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
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| Other form: | Print version: Applied time series econometrics. Cambridge, UK ; New York : Cambridge University Press, 2004
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| Standard no.: | 9780521547871
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