Time Series and Dynamic Models (Hardcover)

In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.

General

Imprint:	Cambridge UniversityPress
Country of origin:	United Kingdom
Series:	Themes in Modern Econometrics
Release date:	1996
First published:	1997
Authors:	Christian Gourieroux • Alain Monfort
Translators:	Giampiero Gallo
Dimensions:	236 x 156 x 43mm (L x W x T)
Format:	Hardcover
Pages:	688
ISBN-13:	978-0-521-41146-2
Languages:	English
Subtitles:	French
Categories:	Books > Business & Economics > Economics > Econometrics > General Promotions
LSN:	0-521-41146-7
Barcode:	9780521411462

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