ENGLISH

Time Series and Dynamic Models (Themes in Modern Econometrics)

By Christian Gourieroux , Alain Monfort

Book information

Year
1996
ISBN
0521411467, 9780521411462
LCC
HB135 .G6813 1997
Open Library ID
OL1004208M
Language
english
Format
PDF
Filesize
12 MB (12737529 bytes)
Pages
688\685
Time added
2011-06-04 13:46:07
Финансово-экономические дисциплины;Эконометрика

Description

Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas.

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