Applied Time Series Modelling and Forecasting
Applied Time Series Modelling and Forecastingprovides a relatively non-technical introduction to applied time series econometrics and forecasting involving non-stationary data. The emphasis is very much on thewhyandhowand, 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 titleUsing Cointegration Analysis in Econometric ModellingbyRichard 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.HarrisandSollishave 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.Applied Time Series Modelling and Forecastinghas been written for students taking courses in financial economics and forecasting, applied time series, and econometrics at advanced undergraduate and postgraduate levels. It will also be useful for practitioners who wish to understand the application of time series modelling e.g. financial brokers.Data sets and econometric code for implementing some of the more recent procedures covered in the book can be found on the following web site www.wiley.co.uk/harris