| Title:
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NEW DEVELOPMENTS IN TIME SERIES ECONOMETRICS
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| By: |
Jean-Marie Dufour (Editor), Baldev Raj (Editor) |
| Format: |
Paperback |
| List price:
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£109.99 |
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| ISBN 10: |
3642487440 |
| ISBN 13: |
9783642487446 |
| Publisher: |
SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG |
| Pub. date: |
28 April, 2012 |
| Edition: |
Softcover reprint of the original 1st ed. 1994 |
| Series: |
Studies in Empirical Economics |
| Pages: |
250 |
| Synopsis: |
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area. |
| Illustrations: |
54 Tables, black and white; 59 Illustrations, black and white; VI, 250 p. |
| Publication: |
Germany |
| Imprint: |
Springer-Verlag Berlin and Heidelberg GmbH & Co. K |
| Returns: |
Returnable |