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This book contains eleven articles which provide empirical
applications as well as theoretical extensions of some of the most
exciting recent developments in time-series econometrics. The
papers are grouped around three broad themes: (I) the modeling of
multivariate times series; (II) the analysis of structural change;
(III) seasonality and fractional integration. Since these themes
are closely inter-related, several other topics covered are also
worth stressing: vector autoregressive (VAR) models, cointegration
and error-correction models, nonparametric methods in time series,
and fractionally integrated models. Researchers and students
interested in macroeconomic and empirical finance will find in this
collection a remarkably representative sample of recent work in
this area.
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