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Time Series Econometrics

This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-mov...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Neusser, Klaus (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:Springer Texts in Business and Economics,
Temas:
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 1. Introduction
  • 2. ARMA models
  • 3. Forecasting stationary processes
  • 4. Estimation of Mean and Autocovariance Function
  • 5.Estimation of ARMA Models
  • 6. Spectral Analysis and Linear Filters
  • 7. Integrated Processes
  • 8. Models of Volatility
  • 9. Multivariate Time series
  • 10. Estimation of Covariance Function
  • 11. VARMA Processes
  • 12. Estimation of VAR Models
  • 13. Forecasting with VAR Models
  • 14. Interpretation of VAR Models
  • 15. Co-integration
  • 16. The Kalman Filter
  • 17. Appendices.