Description |
1 online resource (xxv, 323 pages) : illustrations |
Series |
Themes in modern econometrics |
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Themes in modern econometrics.
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Contents |
Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig |
Summary |
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 |
Bibliography |
Includes bibliographical references (pages 301-315) and index |
Notes |
English |
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Print version record |
Subject |
Time-series analysis -- Mathematical models
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Econometrics.
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BUSINESS & ECONOMICS -- Econometrics.
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BUSINESS & ECONOMICS -- Statistics.
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Econometrics
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Time-series analysis -- Mathematical models
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Zeitreihenanalyse
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Ökonometrie
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Ökonometrisches Modell
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Tijdreeksen.
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Econometrie.
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Econometria.
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Análise de séries temporais.
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Modelos matemáticos.
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Florenz <2003>
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Genre/Form |
Aufsatzsammlung.
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Form |
Electronic book
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Author |
Lütkepohl, Helmut.
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Krätzig, Markus, 1974-
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ISBN |
0511208448 |
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9780511208447 |
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0511215606 |
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9780511215605 |
|
0511217390 |
|
9780511217395 |
|
9780511606885 |
|
0511606885 |
|
9786610541164 |
|
6610541167 |
|
0521547873 |
|
9780521547871 |
|
1107713730 |
|
9781107713734 |
|
1280541164 |
|
9781280541162 |
|
1139130803 |
|
9781139130806 |
|
0511213794 |
|
9780511213793 |
|