ENGLISH

Applied time series econometrics

By Helmut Lütkepohl , Markus Krätzig

Book information

Publisher
CUP
Year
2004
ISBN
9780521547871, 0521547873
Open Library ID
OL15566028M
Language
english
Format
PDF
Filesize
6 MB (5901980 bytes)
Series
Themes in Modern Econometrics
Pages
350\350
Library
Kolxo3
Time added
2010-07-29 05:14:56

Description

Time series econometrics is a rapidly evolving field. In particular, the cointegration revolution has had a substantial impact on applied analysis. As a consequence of the fast pace of development there are no textbooks that 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 briefly to remind the reader of the ideas underlying them and to give sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. The coverage of topics follows recent methodological developments. Unit root and cointegration analysis play a central part. Other topics include structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. A crucial component in empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into the existing software packages. Therefore a felxible Java interface has been created that allows readers to replicate the applications and conduct their own analyses.

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