Introduction to Modern Time Series Analysis

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Sprache: Englisch

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Beschreibung

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

Zusammenfassung

Presents modern methods of time series econometrics and their applications to macroeconomics and finance

With numerous examples and analyses based on real economic data

Helps to acquire a rigorous understanding of the methods and to develop empirical skills

Includes supplementary material: [...]

Inhaltsverzeichnis

Introduction and Basics.- Univariate Stationary Processes.- Granger Causality.- Vector Autoregressive Processes.- Nonstationary Processes.- Cointegration.- Nonstationary Panel Data.- Autoregressive Conditional Heteroscedasticity.

Details

Erscheinungsjahr:	2014
Fachbereich:	Volkswirtschaft
Genre:	Recht , Sozialwissenschaften , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	xii 320 S.
ISBN-13:	9783642440298
ISBN-10:	3642440290
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Kirchgässner, Gebhard Hassler, Uwe Wolters, Jürgen
Auflage:	Second Edition 2013
Hersteller:	Springer-Verlag GmbH Springer Berlin Heidelberg
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 19 mm
Von/Mit:	Gebhard Kirchgässner (u. a.)
Erscheinungsdatum:	09.11.2014
Gewicht:	0,505 kg