Introduction to Modern Time Series Analysis [electronic resource] /
Kirchgässner, Gebhard.author.
Wolters, Jürgen.author.
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It attempts to bridge the gap between methods and realistic applications. This book contains the most important approaches to analyse time series which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series Granger causality tests and vector autoregressive models are presented. For real applied work the modelling of nonstationary uni- or multivariate time series is most important.
Description based upon print version of record.
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It attempts to bridge the gap between methods and realistic applications. This book contains the most important approaches to analyse time series which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series Granger causality tests and vector autoregressive models are presented. For real applied work the modelling of nonstationary uni- or multivariate time series is most important.
Includes bibliographical references and indexes.
and Basics -- Univariate Stationary Processes -- Granger Causality -- Vector Autoregressive Processes -- Nonstationary Processes -- Cointegration -- Autoregressive Conditional Heteroskedasticity.
Econometrics.
Statistics .
Econometrics.
Statistics for Business, Management, Economics, Finance, Insurance.