Del i serien Springer Texts in Business and Economics

Time Series Econometrics

Inbunden, Engelska, 2025

AvKlaus Neusser

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The second part of the text is 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

Utgivningsdatum2025-05-21
Mått155 x 235 x 30 mm
Vikt844 g
FormatInbunden
SpråkEngelska
SerieSpringer Texts in Business and Economics
Antal sidor429
Upplaga2
FörlagSpringer International Publishing AG
ISBN9783031888373

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Klaus Neusser is Professor Emeritus of Macroeconomics and Econometrics at the University of Bern. He studied economics and mathematics at the Vienna University of Technology, obtained his habilitation at the University of Vienna, and spent further study periods at the International Institute for Applied Systems Analysis (IIASA), the University of Chicago, Northwestern University as visiting assistant professor, and Stanford University (Hoover Institution). Recently, he was director of the Institute of Advanced Studies (IHS) in Vienna.

Introduction.- ARMA models.- Forecasting stationary processes.- Estimation of Mean and Autocovariance Function.- Estimation of ARMA Models.- Spectral Analysis and Linear Filters.- Integrated Processes.- Models of Volatility.- Multivariate Time series.- Estimation of Covariance Function.- VARMA Processes.- Estimation of VAR Models.- Forecasting with VAR Models.- Interpretation of VAR Models.- Cointegration.- The Kalman Filter.- Appendices.