Applied time series econometrics /
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 literatur...
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| Other Authors: | , |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge :
Cambridge University Press,
2004.
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| Series: | Themes in modern econometrics.
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| Subjects: | |
| Online Access: | CONNECT |
Table of 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.
