Klaus Neusser: Time Series Econometrics

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Cover: 9783319328614 | Time Series Econometrics | Klaus Neusser | Buch | Englisch | Springer

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Sprache: Englisch

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Beschreibung

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 discussionof 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.

Über den Autor

Prof. Klaus Neusser

Zusammenfassung

Analyzes modern developments in time series analysis and their application to economic problems

Introduces the fundamental concept of a stationary time series and the basic properties of covariance

Helps students develop a deeper understanding of theory and better command of the models that are vital to the field

Includes supplementary material: [...]

Inhaltsverzeichnis

1. Introduction.- 2. ARMA models.- 3. Forecasting stationary processes.- 4. Estimation of Mean and Autocovariance Function.- 5.Estimation of ARMA Models.- 6. Spectral Analysis and Linear Filters.- 7. Integrated Processes.- 8. Models of Volatility.- 9. Multivariate Time series.- 10. Estimation of Covariance Function.- 11. VARMA Processes.- 12. Estimation of VAR Models.- 13. Forecasting with VAR Models.- 14. Interpretation of VAR Models.- 15. Co-integration.- 16. The Kalman Filter.- 17. Appendices.

Erscheinungsjahr:	2016
Fachbereich:	Allgemeines
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Seiten:	436
Reihe:	Springer Texts in Business and Economics
Inhalt:	xxiv 409 S. 2 s/w Illustr. 64 farbige Illustr. 409 p. 66 illus. 64 illus. in color.
ISBN-13:	9783319328614
ISBN-10:	3319328611
Sprache:	Englisch
Herstellernummer:	978-3-319-32861-4
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Autor:	Neusser, Klaus
Auflage:	1st ed. 2016
Hersteller:	Springer International Publishing Springer International Publishing AG Springer Texts in Business and Economics
Maße:	241 x 160 x 29 mm
Von/Mit:	Klaus Neusser
Erscheinungsdatum:	21.06.2016
Gewicht:	0,816 kg

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