New Developments in Time Series Econometrics
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis o...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Heidelberg
Physica-Verlag HD
1994
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| Ausgabe: | 1st ed. 1994 |
| Schriftenreihe: | Studies in Empirical Economics
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| Schlagworte: | |
| Online-Zugang: | DE-634 URL des Erstveröffentlichers |
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| Zusammenfassung: | This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area |
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| Beschreibung: | 1 Online-Ressource (VI, 250 p. 59 illus) |
| ISBN: | 9783642487422 |
| DOI: | 10.1007/978-3-642-48742-2 |