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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Edición: | 1st ed. 2016. |
| Colección: | Springer Texts in Business and Economics,
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| 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.