Skip to main content Accessibility help
×
  1. Home
  2. Books
  3. Applied Time Series Econometrics
  • Cited by 361
      • Show more authors
      • You may already have access via personal or institutional login
    • Select format
    • Publisher:
      Cambridge University Press
      Publication date:
      November 2009
      August 2004
      ISBN:
      9780511606885
      9780521839198
      9780521547871
      DOI:
      https://doi.org/10.1017/CBO9780511606885
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.6kg, 352 Pages
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.49kg, 352 Pages
      • Subjects:
      Economics, Econometrics and Mathematical Methods, Statistics for Econometrics, Finance and Insurance, Statistics and Probability
      Series:
      Themes in Modern Econometrics
    You may already have access via personal or institutional login
    • Selected: Digital
    Add to cart View cart Buy from Cambridge.org
    Subjects:
    Economics, Econometrics and Mathematical Methods, Statistics for Econometrics, Finance and Insurance, Statistics and Probability
    Series:
    Themes in Modern Econometrics
    Information

    Book description

    Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to 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, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.

    Refine List

    Actions for selected content:

    Select all | Deselect all
    • View selected items
    • Export citations
    • Download PDF (zip)
    • Save to Kindle
    • Save to Dropbox
    • Save to Google Drive

    Save Search

    You can save your searches here and later view and run them again in "My saved searches".

    Please provide a title, maximum of 40 characters.
    Cancel
    ×

    Contents

    Contents

    Metrics

    Altmetric attention score

    Full text views

    Total number of HTML views: 0
    Total number of PDF views: 0 *
    Loading metrics...

    Book summary page views

    Total views: 0 *
    Loading metrics...

    * Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

    Usage data cannot currently be displayed.

    Accessibility standard: Unknown

    Why this information is here

    This section outlines the accessibility features of this content - including support for screen readers, full keyboard navigation and high-contrast display options. This may not be relevant for you.

    Accessibility Information

    Accessibility compliance for the PDF of this book is currently unknown and may be updated in the future.