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Economics - Econometrics / Statistics | Analysis of Integrated and Cointegrated Time Series with R

Analysis of Integrated and Cointegrated Time Series with R

R-code for examples in the book

Series: Use R!

Pfaff, Bernhard

2nd ed. 2008

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  • Ideally suited for computer labs: Econometric theory/methods and their implementation within R is exhibited.

The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and co-integration methods on his own by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and multivariate time series models. The book is enriched by numerous programming examples to artificial and real data so that it is ideally suited as an accompanying text book to computer lab classes.

The second edition adds a discussion of vector auto-regressive, structural vector auto-regressive, and structural vector error-correction models. To analyze the interactions between the investigated variables, further impulse response function and forecast error variance decompositions are introduced as well as forecasting. The author explains how these model types relate to each other.

Content Level » Research

Keywords » Co-integration - Computer - SVEC models - Time series - VAR - VEC - Variance - calculus - econometrics - fractional integration - programming - unit roots

Related subjects » Econometrics / Statistics - Probability Theory and Stochastic Processes - Statistical Theory and Methods - Theoretical Computer Science

Table of contents / Preface / Sample pages 

Univariate analysis of stationary time series.- Multivariate analysis of stationary time series.- Non-stationary time series.- Cointegration.- Testing for the order of integration.- Further considerations.- Single equation methods.- Multiple equation methods.- Appendix.- Abbreviations, nomenclature and symbols.- List of tables.- List of figures.- List of R code.- References.

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