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Applied time series econometrics
Applied time series econometrics By Helmut Lütkepohl, Markus Krätzig
2004 | 350 Pages | ISBN: 0521547873 | PDF | 6 MB
Time series econometrics is a rapidly evolving field. In particular, the cointegration revolution has had a substantial impact on applied analysis. As a consequence of the fast pace of development there are no textbooks that 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 briefly to remind the reader of the ideas underlying them and to give sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. The coverage of topics follows recent methodological developments. Unit root and cointegration analysis play a central part. Other topics include structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. A crucial component in empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into the existing software packages. Therefore a felxible Java interface has been created that allows readers to replicate the applications and conduct their own analyses.
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