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 conduct their own analyses.
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