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
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