Time series econometrics
Subtitle: a concise introduction
By: Terence C. Mills, Professor of Applied Statistics and Econometrics, Department of Economics, Loughborough University, UK
Publisher: Palgrave Macmillan
Published: 2015
Place of publication: Houndmills, Basingstoke, Hampshire; New York
Language: eng
ISBN-13: 9781137525321
Subjects: Time-series analysis; Econometrics
Notes: Includes index.
Table of contents: title: Introduction; title: Modelling stationary time series : the ARMA approach; title: Non-stationary time series : differencing and ARIMA modelling; title: Unit roots and related topics; title: Modelling volatility using GARCH processes; title: Forecasting with univariate models; title: Modelling multivariate time series : vector autoregressions and Granger causality; title: Cointegration in single equations; title: Cointegration in systems of equations; title: Extensions and developments.