Applied time series econometrics / edited by Helmut Lütkepohl, Markus Krätzig.

Contributor(s):

Material type: Text

TextSeries: Themes in modern econometricsPublication details: Cambridge, UK ; New York : Cambridge University Press, 2004.Description: 1 online resource (xxv, 323 pages) : illustrationsContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

0511208448
9780511208447
0511215606
9780511215605
0511217390
9780511217395
9780511606885
0511606885
9786610541164
6610541167
0521547873
9780521547871
1107713730
9781107713734
1280541164
9781280541162
1139130803
9781139130806
0511213794
9780511213793

Subject(s): Genre/Form:

Additional physical formats: Print version:: Applied time series econometrics.DDC classification:

330/.01/51955 22

LOC classification:

HA30.3 .A67 2004eb

Other classification:

83.03
QH 237
SK 845

Online resources:

Click here to access online

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.

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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Includes bibliographical references (pages 301-315) and index.

Print version record.

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.

English.

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