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Introduction to Modern Time Series Analysis

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Introduction to Modern Time Series Analysis Synopsis

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

 

About This Edition

ISBN: 9783642440298
Publication date:
Author: Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
Publisher: Springer an imprint of Springer Berlin Heidelberg
Format: Paperback
Pagination: 320 pages
Series: Springer Texts in Business and Economics
Genres: Econometrics and economic statistics
Game theory
Probability and statistics
Macroeconomics
Economics, Finance, Business and Management