Applied Time Series Modelling and Forecasting (Paperback)

Richard Harris

ISBN 10: 0470844434 / ISBN 13: 9780470844434

Edité par John Wiley & Sons Inc, New York, 2003

A propos de cet article

Paperback. Applied Time Series Modelling and Forecasting provides a relatively non-technical introduction to applied time series econometrics and forecasting involving non-stationary data. The emphasis is very much on the why and how and, as much as possible, the authors confine technical material to boxes or point to the relevant sources for more detailed information. This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris. As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series. Harris and Sollis have also incorporated as many of the latest techniques in the area as possible including: testing for periodic integration and cointegration; GLS detrending when testing for unit roots; structural breaks and season unit root testing; testing for cointegration with a structural break; asymmetric tests for cointegration; testing for super-exogeniety; seasonal cointegration in multivariate models; and approaches to structural macroeconomic modelling. In addition, the discussion of certain topics, such as testing for unique vectors, has been simplified. The text has been thoroughly updated to incorporate recent developments and includes three major new chapters on: time series modelling in the financial economics area, the Harvey approach to structural time series modelling and cointegration, and panel data models and non--stationary time series. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. N° de réf. du vendeur 9780470844434

Détails bibliographiques

Titre : Applied Time Series Modelling and ...

Éditeur : John Wiley & Sons Inc, New York

Date d'édition : 2003

Reliure : Paperback

Etat : new

Edition : Edition originale

A propos de ce titre

Synopsis :

Applied Time Series Modelling and Forecasting provides a relatively non-technical introduction to applied time series econometrics and forecasting involving non-stationary data. The emphasis is very much on the why and how and, as much as possible, the authors confine technical material to boxes or point to the relevant sources for more detailed information.

This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris. As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series. Harris and Sollis have also incorporated as many of the latest techniques in the area as possible including: testing for periodic integration and cointegration; GLS detrending when testing for unit roots; structural breaks and season unit root testing; testing for cointegration with a structural break; asymmetric tests for cointegration; testing for super-exogeniety; seasonal cointegration in multivariate models; and approaches to structural macroeconomic modelling. In addition, the discussion of certain topics, such as testing for unique vectors, has been simplified.

À propos de l?auteur:

Richard Harris is a Professor in the Department of Economics and Finance at the University of Durham. His areas of research are in the field of applied econometrics and he has published widely in numerous journals.

Robert Sollis is a Lecturer in the Department of Economics and Finance at the University of Durham. His research interests are in time series econometrics with particular focus on nonlinear models for macroeconomic and financial time series.