Del i serien Springer Texts in Business and Economics

Time Series Econometrics

Häftad, Engelska, 2018

AvKlaus Neusser

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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

Utgivningsdatum2018-05-30
Mått155 x 235 x 27 mm
Vikt664 g
FormatHäftad
SpråkEngelska
SerieSpringer Texts in Business and Economics
Antal sidor409
FörlagSpringer International Publishing AG
ISBN9783319813875

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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.

“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)