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Books > Business & Economics > Economics > Econometrics
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Time Series Econometrics (Hardcover, 1st ed. 2016)
Loot Price: R3,997
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Time Series Econometrics (Hardcover, 1st ed. 2016)
Series: Springer Texts in Business and Economics
Expected to ship within 9 - 15 working days
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This text presents modern developments in time series analysis and
focuses on their application to economic problems. The book first
introduces the fundamental concept of a stationary time series and
the basic properties of covariance, investigating the structure and
estimation of autoregressive-moving average (ARMA) models and their
relations to the covariance structure. The book then moves on to
non-stationary time series, highlighting its consequences for
modeling and forecasting and presenting standard statistical tests
and regressions. Next, the text discusses volatility models and
their applications in the analysis of financial market data,
focusing on generalized autoregressive conditional heteroskedastic
(GARCH) models. The second part of the text devoted to multivariate
processes, such as vector autoregressive (VAR) models and
structural vector autoregressive (SVAR) models, which have become
the main tools in empirical macroeconomics. The text concludes with
a discussion of co-integrated models and the Kalman Filter, which
is being used with increasing frequency. Mathematically rigorous,
yet application-oriented, this self-contained text will help
students develop a deeper understanding of theory and better
command of the models that are vital to the field. Assuming a basic
knowledge of statistics and/or econometrics, this text is best
suited for advanced undergraduate and beginning graduate students.
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