Applied time series econometrics
By: edited by Helmut Lütkepohl, Markus Krätzig.
Contributors: Lütkepohl, Helmut.; Krätzig, Markus, 1974-
Series: Themes in modern econometrics
Publisher: Cambridge University Press
Published: 2004
Place of publication: Cambridge, UK; New York
Language: eng
Number of pages: 323
Subjects: Time-series analysis -- Mathematical models; Econometrics
Notes: Includes bibliographical references (p. 301-315) and index.
Table of contents: title: Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl; title: Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl; title: Conditional heteroskedasticity / Helmut Herwartz; title: Smooth transition regression modeling / Timo Teräsvirta; title: Nonparametric time series modeling / Rolf Tschernig; title: The software JMulTi / Markus Krätzig.