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    Applied Time Series Econometrics (Themes in Modern Econometrics) (Paperback) Edited by Helmut Lütkepohl, Edited by Markus Kraetzig, Series edited by Peter C.B. Phillips, Series edited by Eric Ghysels, Series edited by Richard J. Smith

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    DescriptionTime 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.

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    Applied Time Series Econometrics
    Authors and contributors
    Edited by Helmut Lütkepohl, Edited by Markus Kraetzig, Series edited by Peter C.B. Phillips, Series edited by Eric Ghysels, Series edited by Richard J. Smith
    Physical properties
    Format: Paperback
    Number of pages: 352
    Width: 152 mm
    Height: 224 mm
    Thickness: 20 mm
    Weight: 476 g
    ISBN 13: 9780521547871
    ISBN 10: 0521547873

    Warengruppen-Systematik des deutschen Buchhandels: 17820
    B&T Book Type: NF
    BIC E4L: ECO
    Nielsen BookScan Product Class 3: S4.5
    B&T Modifier: Region of Publication: 01
    B&T Modifier: Subject Development: 10
    BIC subject category V2: KFF, PHS, KJQ, PBT
    B&T General Subject: 180
    Ingram Subject Code: BE
    B&T Modifier: Text Format: 02
    B&T Modifier: Academic Level: 02
    BIC subject category V2: KCHS
    LC subject heading:
    DC22: 330.015195
    B&T Merchandise Category: UP
    BIC subject category V2: KCH
    BISAC V2.8: BUS021000
    DC22: 330.0151955, 330/.01/51955
    LC classification: HA30.3.A67
    LC subject heading:
    LC classification: HA30.3 .A67 2004
    LC subject heading:
    Thema V1.0: KCH
    Edition statement
    New ed.
    Illustrations note
    69 b/w illus. 38 tables
    Imprint name
    Publication date
    04 August 2004
    Publication City/Country
    Author Information
    Helmut Lutkepohl is Professor of Economics at the European University Institute in Florence, Italy. He is on leave from Humboldt University Berlin where he has been Professor of Econometrics in the Faculty of Economics and Business Administration since 1992. He had previously been Professor of Statistics at the University of Kiel (1987-1992) and the University of Hamburg (1985-1987) and was Visiting Assistant Professor at the University of California, San Diego (1984-85). Professor Lutkepohl is Associate Editor of Econometric Theory, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviewa. He has published extensively in learned journals and books and is author, co-author and editor of a number of books in econometrics and time series analysis. Professor Lutkepohl is the author of Introduction to Multiple Time Series Analysis (1991) and a Handbook of Matrices (1996). His current teaching and research interests include methodological issues related to the study of nonstationary, integrated time series and the analysis of the transmission mechanism of monetary policy in the Euro area. Markus Kratzig is a doctoral student in the Department of Economics at Humboldt University, Berlin.
    Table of contents
    Preface; Notation and abbreviations; List of contributors; Part I. Initial Tasks and Overview Helmut Lutkepohl: 1. Introduction; 2. Setting up an econometric project; 3. Getting data; 4. Data handling; 5. Outline of chapters; Part II. Univariate Time Series Analysis Helmut Lutkepohl: 6. Characteristics of time series; 7. Stationary and integrated stochastic processes; 8. Some popular time series models; 9. Parameter estimation; 10. Model specification; 11. Model checking; 12. Unit root tests; 13. Forecasting univariate time series; 14. Examples; 15. Where to go from here; Part III. Vector Autoregressive and Vector Error Correction Models Helmut Lutkepohl: 16. Introduction; 17. VARs and VECMs; 18. Estimation; 19. Model specification; 20. Model checking; 21. Forecasting VAR processes and VECMs; 22. Granger-causality analysis; 23. An example; 24. Extensions; Part IV. Structural Vector Autoregressive Modelling and Impulse Responses Jorg Breitung, Ralf Bruggemann and Helmut Lutkepohl: 25. Introduction; 26. The models; 27. Impulse response analysis; 28. Estimation of structural parameters; 29. Statistical inference for impulse responses; 30. Forecast error variance decomposition; 31. Examples; 32. Conclusions; Part V. Conditional Heteroskedasticity Helmut Herwartz: 33. Stylized facts of empirical price processes; 34. Univariate GARCH models; 35. Multivariate GARCH models; Part VI. Smooth Transition Regression Modelling Timo Terasvirta: 36. Introduction; 37. The model; 38. The modelling cycle; 39. Two empirical examples; 40. Final remarks; Part VII. Nonparametric Time Series Modelling Rolf Tschernig: 41. Introduction; 42. Local linear estimation; 43. Bandwidth and lag selection; 44. Diagnostics; 45. Modelling the conditional volatility; 46. Local linear seasonal modelling; 47. Example I: average weekly working hours in the United States; 48. Example II: XETRA dax index; Part VIII. The Software JMulTi Markus Kratzig: 49. Introduction to JMulTi; 50. Numbers, dates and variables in JMulTi; 51. Handling data sets; 52. Selecting, transforming and creating time series; 53. Managing variables in JMulTi; 54. Notes for econometric software developers; 55. Conclusion; References; Index.