Applied time series econometrics / edited by Helmut Lütkepohl, Markus Krätzig.

Format:

Book

Contributor:

Lütkepohl, Helmut, editor.

Krätzig, Markus, 1974- editor.

Series:

Themes in modern econometrics.

Themes in modern econometrics

Language:

English

Subjects (All):

Time-series analysis--Mathematical models.

Time-series analysis.

Econometrics.

Physical Description:

1 online resource (xxv, 323 pages) : digital, PDF file(s).

Edition:

1st ed.

Place of Publication:

Cambridge : Cambridge University Press, 2004.

Language Note:

English

Summary:

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.

Contents:

Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl

Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl

Conditional heteroskedasticity / Helmut Herwartz

Smooth transition regression modeling / Timo Teräsvirta

Nonparametric time series modeling / Rolf Tschernig

The software JMulTi / Markus Krätzig.

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references (p. 301-315) and index.

ISBN:

1-107-71373-0

1-280-54116-4

1-139-13080-3

0-511-21560-6

0-511-21739-0

0-511-21202-X

0-511-60688-5

0-511-21379-4

OCLC:

171139194