New Developments in Time Series Econometrics /
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 o...
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| Format: | eBook |
| Language: | English |
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Heidelberg :
Physica-Verlag HD,
1994.
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| Series: | Studies in empirical economics.
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (vi, 250 pages 28 illustrations) |
| ISBN: | 9783642487422 (electronic bk.) 3642487424 (electronic bk.) |