Time Series Econometrics | Zookal Textbooks | Zookal Textbooks
  • Author(s) Klaus Neusser
  • Edition1
  • Published06142016
  • PublisherSpringer Nature
  • ISBN9783319328614
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. 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. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field.  Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students. 

Time Series Econometrics

In stock at supplier

Leaves in 1-4 weeks

$123.07 $146.95 Save $23.88
or 4 payments of $30.76 with Zookal accepts Afterpay
Add Zookal Study FREE trial and save a further 20% 

NEW PRICE

$98.46 + free shipping

(20% off - save $24.61)

Zookal Study Free trial

14-day FREE trial. $14.95/mo after. Cancel anytime.

*Discount will apply at checkout.

 See terms and conditions

You will get a further 20% off for this item ($98.46 after discount) because you have added Zookal Study Premium Free Trial to your bag.

For this discount to apply, you will need to complete checkout with the Zookal Study Premium Free Trial in your bag.

-
+
Get it instantly

Zookal account needed

$159.01
or 4 payments of $39.75 with Zookal accepts Afterpay
Add Zookal Study FREE trial and save a further 20% 

NEW PRICE

$127.21 + free shipping

(20% off - save $31.80)

Zookal Study Free trial

14-day FREE trial. $14.95/mo after. Cancel anytime.

*Discount will apply at checkout.

 See terms and conditions

You will get a further 20% off for this item ($127.21 after discount) because you have added Zookal Study Premium Free Trial to your bag.

For this discount to apply, you will need to complete checkout with the Zookal Study Premium Free Trial in your bag.

-
+
  • Author(s) Klaus Neusser
  • Edition1
  • Published06142016
  • PublisherSpringer Nature
  • ISBN9783319328614
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. 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. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field.  Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students. 
translation missing: en.general.search.loading