Springer Texts in Business and Economics

Time Series Econometrics

Authors: Neusser, Klaus

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  • Analyzes modern developments in time series analysis and their application to economic problems
  • Introduces the fundamental concept of a stationary time series and the basic properties of covariance
  • Helps students develop a deeper understanding of theory and better command of the models that are vital to the field  
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eBook 74,96 €
price for Spain (gross)
  • ISBN 978-3-319-32862-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 93,59 €
price for Spain (gross)
  • ISBN 978-3-319-32861-4
  • 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
Softcover 93,59 €
price for Spain (gross)
  • ISBN 978-3-319-81387-5
  • 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 Textbook

This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text  devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field.  Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students. 

About the authors

Prof. Klaus Neusser

Reviews

“The present monograph is a practical and comprehensive introduction to an area that lies at the core of econometrics. … It requires minimal prerequisites, and is almost surely accessible to senior undergraduate or beginning graduate students, and certainly to independent researchers … . I find this book to be a valuable addition to the monographic literature on time series.” (Giuseppe Castellacci, Mathematical Reviews, October, 2017)

Table of contents (18 chapters)

Table of contents (18 chapters)

Buy this book

eBook 74,96 €
price for Spain (gross)
  • ISBN 978-3-319-32862-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 93,59 €
price for Spain (gross)
  • ISBN 978-3-319-32861-4
  • 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
Softcover 93,59 €
price for Spain (gross)
  • ISBN 978-3-319-81387-5
  • 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
Time Series Econometrics
Authors
Series Title
Springer Texts in Business and Economics
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-32862-1
DOI
10.1007/978-3-319-32862-1
Hardcover ISBN
978-3-319-32861-4
Softcover ISBN
978-3-319-81387-5
Series ISSN
2192-4333
Edition Number
1
Number of Pages
XXIV, 409
Number of Illustrations
2 b/w illustrations, 64 illustrations in colour
Topics