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Use R!

Analysis of Integrated and Cointegrated Time Series with R

Authors: Pfaff, Bernhard

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

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eBook 65,44 €
price for Spain (gross)
  • ISBN 978-0-387-75967-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 80,07 €
price for Spain (gross)
  • ISBN 978-0-387-75966-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

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.

Reviews

From the reviews:

"Analysis of Integrated and Cointegrated Time Series with R (2nd Edition) … offers a rigorous introduction to unit roots and cointegration, along with numerous examples in R to illustrate the various methods. The book, now in its second edition, provides an overview of this active area of research in time series econometrics. It manages to be thorough (using formal notation), yet remains applied in its focus.… The second edition also adds new material on VAR and SVAR models which strengthens the coverage of multivariate methods.… the book can clearly be recommended to both researchers and practitioners in time series econometrics." (Dirk Eddelbuettel, Journal of Statistical Software, Volume 30, Book Review 5, 2009-04-27)

"The writing is lucid and the book and software used can be recommended to its intended audience. The value of the book lies principally in showing how a number of packages including the author's own packages urca and vars may be used for modern econometric analysis." (David J. Scott, International Statistical Review, 77, 1, 2009)

From the reviews of the second edition:

"The book is divided into three parts. … This book addresses senior undergraduates, graduate students and practitioners in the field of econometrics. This is not a text in statistical theory, but does cover modern statistical methodology. It is particularly suited as an accompanying text in applied computer laboratory classes." (M. P. Moklyachuk, Mathematical Reviews, Issue 2009 k)

“The prominent feature of this book is that it demonstrates how rapidly different inference methods, diagnostic testing, impulse response analysis, forecast error variance decomposition, and forecasting can be implemented with R, which may interest many practitioners working in this arena. … the book is descriptive, some chapters are a combination of overviews and developments. This book has several programming examples that utilize both real and artificial data. The style and format of the edition is standard and it offers Name, Function and Subject indexes.” (Technometrics, Vol. 52 (1), February, 2010)


Table of contents (8 chapters)

Buy this book

eBook 65,44 €
price for Spain (gross)
  • ISBN 978-0-387-75967-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 80,07 €
price for Spain (gross)
  • ISBN 978-0-387-75966-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Analysis of Integrated and Cointegrated Time Series with R
Authors
Series Title
Use R!
Copyright
2008
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-0-387-75967-8
DOI
10.1007/978-0-387-75967-8
Softcover ISBN
978-0-387-75966-1
Series ISSN
2197-5736
Edition Number
2
Number of Pages
XX, 190
Topics