عنوان

Time Series Econometrics /

(Number (ISBN

3319328611

(Number (ISBN

331932862X

(Number (ISBN

9783319328614

(Number (ISBN

9783319328621

Erroneous ISBN

3319328611

Erroneous ISBN

9783319328614

Country Code

bnb

Number

b623962

Title Proper

Time Series Econometrics /

General Material Designation

[Book]

First Statement of Responsibility

Klaus Neusser.

Specific Material Designation and Extent of Item

1 online resource (xxiv, 409 pages) :

Other Physical Details

illustrations (chiefly color)

Series Title

Springer Texts in Business and Economics,

ISSN of Series

2192-4341

Text of Note

Includes bibliographical references (pages 391-402) and index.

Text of Note

"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."--Publisher's description.

Text of Note

Advanced undergraduate and beginning graduate students.

Source for Acquisition/Subscription Address

00024965

Source for Acquisition/Subscription Address

OverDrive, Inc.

Stock Number

98CB02A0-C821-4533-89B0-B89D6FAA183B

Title

Time Series Econometrics.

International Standard Book Number

9783319328614

Econometric models.

Time-series analysis.

Business & Economics-- Econometrics.

Business & Economics-- Economics-- Macroeconomics.

Business & Economics-- Statistics.

Econometric models.

Econometrics.

Macroeconomics.

Probability & statistics.

Time-series analysis.

Number

Edition

Class number

Book number

Neusser, Klaus

Date of Transaction

20201221083101.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

270410

Y