New Developments in Time Series Econometrics (Studies in Empirical Economics)

New Developments in Time Series Econometrics (Studies in Empirical Economics)

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  • 製本 Hardcover:ハードカバー版／ページ数 256 p.
  • 言語 ENG
  • 商品コード 9783790807660
  • DDC分類 330.0151955

Full Description

This text contains 11 articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: the modelling of multivariate time series; the analysis of structural change; and seasonality and fractional integration. Since these themes are closely interrelated, several other topics covered are also worth stressing: vector autoregressive (VAR) models; cointegration and error-correction models; nonparametric methods in time series; and fractionally integrated models.

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