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Palgrave Macmillan

Time Series Econometrics

A Concise Introduction

  • Book
  • © 2015

Overview

Authors:
  1. Terence C. Mills

    1. School of Business and Economics, Loughborough University, UK

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Part of the book series: Palgrave Texts in Econometrics (PTEC)

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Table of contents (10 chapters)

  1. Front Matter

    Pages i-viii
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  2. Introduction

    • Terence C. Mills
    Pages 1-4

  3. Modelling Stationary Time Series: the ARMA Approach

    • Terence C. Mills
    Pages 5-40

  4. Non-stationary Time Series: Differencing and ARIMA Modelling

    • Terence C. Mills
    Pages 41-57

  5. Unit Roots and Related Topics

    • Terence C. Mills
    Pages 58-71

  6. Modelling Volatility using GARCH Processes

    • Terence C. Mills
    Pages 72-84

  7. Forecasting with Univariate Models

    • Terence C. Mills
    Pages 85-97

  8. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality

    • Terence C. Mills
    Pages 98-113

  9. Cointegration in Single Equations

    • Terence C. Mills
    Pages 114-133

  10. Cointegration in Systems of Equations

    • Terence C. Mills
    Pages 134-146

  11. Extensions and Developments

    • Terence C. Mills
    Pages 147-152

  12. Back Matter

    Pages 153-156
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Keywords

About this book

This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.

Authors and Affiliations

  • School of Business and Economics, Loughborough University, UK

    Terence C. Mills

About the author

Terence C. Mills is Professor of Applied Statistics and Econometrics at Loughborough University. He has published over 200 articles and books on topics ranging from economic history and the history of econometric thought, through economics, econometrics and finance, to health and well-being, climatology and meteorology.

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