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Item Details
Title: TIME SERIES AND DYNAMIC MODELS
By: Christian Gourieroux, Alain Monfort, Peter C. B. Phillips
Format: Hardback

List price: £156.00
Our price: £136.50
Discount:
12.5% off
You save: £19.50
ISBN 10: 0521411467
ISBN 13: 9780521411462
Availability: Usually dispatched within 1-3 weeks.
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Stock: Currently 0 available
Publisher: CAMBRIDGE UNIVERSITY PRESS
Pub. date: 13 January, 1996
Series: Themes in Modern Econometrics
Pages: 688
Translated from: French
Description: An up-to-date and comprehensive analysis of traditional and modern time series econometrics.
Synopsis: In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.
Illustrations: 112 b/w illus. 50 tables
Publication: UK
Imprint: Cambridge University Press
Returns: Returnable
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STATISTICS AND ECONOMETRIC MODELS: VOLUME 2, TESTING, CONFIDENCE REGIONS, MODEL SELECTION AND ASYMPTOTIC THEORY
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THE ECONOMETRICS OF INDIVIDUAL RISK
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