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Applied time series econometrics /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	330/.01/51955
書名/作者:	Applied time series econometrics // edited by Helmut Lütkepohl, Markus Krätzig.
其他作者:	Lütkepohl, Helmut,
面頁冊數:	1 online resource (xxv, 323 pages) : : digital, PDF file(s).
附註:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
標題:	Time-series analysis - Mathematical models.
標題:	Econometrics.
ISBN:	9780511606885 (ebook)
內容註:	Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig.
摘要、提要註:	Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
電子資源:	http://dx.doi.org/10.1017/CBO9780511606885

Applied time series econometrics /
Applied time series econometrics /edited by Helmut Lütkepohl, Markus Krätzig. - 1 online resource (xxv, 323 pages) :digital, PDF file(s). - Themes in modern econometrics. - Themes in modern econometrics..

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig.

Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.

ISBN: 9780511606885 (ebook)Subjects--Topical Terms:

608863
Time-series analysis
--Mathematical models.

LC Class. No.: HA30.3 / .A67 2004

Dewey Class. No.: 330/.01/51955

Applied time series econometrics /
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520 $a Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
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