Time Series Econometrics

Mehr zum Buch

Focusing on modern developments in time series analysis, this text addresses their application to economic issues. It covers stationary and non-stationary time series, including ARMA models, volatility models like GARCH, and multivariate processes such as VAR and SVAR models. The book emphasizes modeling and forecasting techniques, alongside statistical tests. Concluding with co-integrated models and the Kalman Filter, it provides a mathematically rigorous yet practical approach, making it ideal for advanced undergraduate and beginning graduate students with a foundational knowledge of statistics or econometrics.