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Applied econometric time series 2nd
Applied Time Series Econometrics Time series econometrics is a rapidly evolving field. In particular, the cointegration revolution has had a substantial impact on applied analysis. As a consequence of the fast pace of development, there are no textbooks that 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 briefly to remind the reader of the ideas underlying them and to give sufficient background for empirical work. The volume can be used as a textbook for a course on applied time series econometrics. The coverage of topics follows recent methodological developments. Unit root and cointegration analysis play a central part. Other topics include structural vector autoregressions, conditional heteroskedasticity, and nonlinear and nonparametric time series models. A crucial component in empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into the existing software packages. Therefore a flexible Java interface has been created that allows readers to replicate the applications and conduct their own analyses. Helmut L?utkepohl is Professor of Economics at the European University Institute in Florence, Italy. He is on leave from Humboldt University, Berlin, where he has been Professor of Econometrics in the Faculty of Economics and Business Administration since 1992. He had previously been Professor of Statistics at the University of Kiel (1987?92) and the University of Hamburg (1985?87) and was Visiting Assistant Professor at the University of California, San Diego (1984?85). Professor L?utkepohl is Associate Editor of Econometric Theory, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics, and Econometric Reviews. He has published extensively in learned journals and books and is author, coauthor and editor of several books on econometrics and time series analysis. Professor L?utkepohl is the author of Introduction to Multiple Time Series Analysis (1991) and a Handbook of Matrices (1996). His current teaching and research interests include methodological issues related to the study of nonstationary, integrated time series, and the analysis of the transmission mechanism of monetary policy in the euro area. Markus Kr?atzig is a doctoral student in the Department of Economics at Humboldt University, Berlin.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| Tan 519. 5 End a | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | New York John Wiley & Sons., 2004 |
|---|---|
| Edisi | - |
| Subjek | Econometrics |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |