Time Series and Dynamic Models - Couverture rigide

Gourieroux, Christian; Monfort, Alain

Couverture rigide

ISBN 10 : 0521411467 ISBN 13 : 9780521411462

Editeur : Cambridge University Press, 1996

Synopsis

An up-to-date and comprehensive analysis of traditional and modern time series econometrics.

A propos du livre

Présentation de l'éditeur

In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.

Revue de presse

'This is a well done introduction to both classical and modern time series models and techniques. Throughout, the authors have managed to keep a sound balance between mathematical rigor (which is always present, but never emphasized or celebrated for its own sake) and user-friendliness of presentation. I found this mixture very easy to digest. Another strong point of the book is its technical competence. In almost every line, one feels that two of the most brilliant present-day theoretical econometricians are at work. Review in Statistical Papers

Détails de l'édition

• Éditeur: Cambridge University Press
• Date d'édition: 1996
• ISBN 10: 0521411467
• ISBN 13: 9780521411462
• Reliure: Relié
• Langue: anglais
• Nombre de pages: 688
• Coordonnées du fabricant: non disponible