| Description |
xxv, 323 pages : illustrations ; 23 cm |
| Series |
Themes in modern econometrics |
|
MyiLibrary
|
| Contents |
1. Initial tasks and overview / Helmut Lutkepohl -- 2. Univariate time series analysis / Helmut Lutkepohl -- 3. Vector autoregressive and vector error correction models / Helmut Lutkepohl -- 4. Structural vector autoregressive modeling and impulse responses / Jorg Breitung, Ralf Bruggemann and Helmut Lutkepohl -- 5. Conditional heteroskedasticity / Helmut Herwartz -- 6. Smooth transition regression modeling / Timo Terasvirta -- 7. Nonparametric time series modeling / Rolf Tschernig -- 8. The software JMulTi / Markus Kratzig |
| Summary |
"Time series econometrics is a rapidly evolving field and the cointegration revolution in particular has had a substantial impact on applied analysis. This work sketches out the methods of time series econometrics to remind the reader of the ideas underlying them and to give sufficient background for empirical work. 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 existing software packages. Therefore a flexible Java interface has been created that allows readers to replicate the applications and conduct their own analyses."--BOOK JACKET |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Electronic version is available via MyiLibrary |
|
Mode of access: Internet via World Wide Web |
|
Print version record |
| Subject |
Time-series analysis -- Mathematical models.
|
|
Econometrics.
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| Author |
L©ơtkepohl, Helmut
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K©Þrtzig, Markus, 1974-
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| LC no. |
2003068720 |
| ISBN |
0521547873 paperback |
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052183919X cloth |
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