資料來源:
三民書局
Applied time series econometrics
- 其他作者：
- 出版： Cambridge, UK ;New York : Cambridge University Press
- 叢書名： Themes in modern econometrics
- 主題： Time-series analysis--Mathematical models , Econometrics
- ISBN： 052183919X (hbk.): US$85.00 、 0521547873 (pbk.)
- 資料類型: 圖書
- 內容註: Includes bibliographical references (p. 301-315) and index.
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讀者標籤：
- 系統號： 005003036 | 機讀編目格式
館藏資訊
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