Overview
- Presents modern methods of time series econometrics and their applications to macroeconomics and finance
- With numerous examples and analyses based on real economic data
- Helps to acquire a rigorous understanding of the methods and to develop empirical skills
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Texts in Business and Economics (STBE)
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Table of contents (8 chapters)
Keywords
About this book
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Authors and Affiliations
Bibliographic Information
Book Title: Introduction to Modern Time Series Analysis
Authors: Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
Series Title: Springer Texts in Business and Economics
DOI: https://doi.org/10.1007/978-3-642-33436-8
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag GmbH Germany, part of Springer Nature 2013
Hardcover ISBN: 978-3-642-33435-1Published: 09 October 2012
Softcover ISBN: 978-3-642-44029-8Published: 09 November 2014
eBook ISBN: 978-3-642-33436-8Published: 08 October 2012
Series ISSN: 2192-4333
Series E-ISSN: 2192-4341
Edition Number: 2
Number of Pages: XII, 320
Topics: Econometrics, Statistics for Business, Management, Economics, Finance, Insurance, Game Theory, Economics, Social and Behav. Sciences, Macroeconomics/Monetary Economics//Financial Economics