Time Series Econometrics

A Concise Introduction
2015. Auflage 2015
ISBN: 978-1-137-52532-1
Verlag: Palgrave MacMillan UK

Buch, Englisch, 156 Seiten, Format (B × H): 140 mm x 216 mm, Gewicht: 3158 g

Reihe: Palgrave Texts in Econometrics

This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.

Zielgruppe

Research

Autoren/Hrsg.

Mills, Terence C

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

1. Introduction
2. Modelling Stationary Time Series: the ARMA Approach
3. Non-stationary Time Series: Differencing and ARIMA Modelling
4. Unit Roots and Related Topics
5. Modelling Volatility using GARCH Processes
6. Forecasting with Univariate Models
7. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality
8. Cointegration in Single Equations
9. Cointegration in Systems of Equations
10. Extensions and Developments
Index

Über Autor(innen)

Terence C. Mills is Professor of Applied Statistics and Econometrics at Loughborough University. He has published over 200 articles and books on topics ranging from economic history and the history of econometric thought, through economics, econometrics and finance, to health and well-being, climatology and meteorology.