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基本説明
Introduces modern time series analysis through the use of interesting and wide ranging examples and applications.
Full Description
This advanced text for a course on time series econometrics introduces modern time series analyses through the use of wide-ranging examples and applications. Providing a balance between macro and microeconomic applications, the book covers recent work in non-stationary time series that has only been published in journals, including unit-root test, ARCH models and co-integration/error-correction models. VAR analysis has been added as well as examples from different sources; the examples include Exchange Rate determination, the theory of purchasing power parity, and transnational terrorism.
Contents
Difference Equations. Stationary Time-Series Models. Modeling Economic Time Series: Trends and Volatility. Testing for Trends and Unit Roots. Multiequation Time-Series Models. Cointegration and Error-Correction Models. Statistical Tables. References. Indexes.
