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The Resource Applied time series econometrics, edited by Helmut Lütkepohl, Markus Krätzig

Applied time series econometrics, edited by Helmut Lütkepohl, Markus Krätzig

Label
Applied time series econometrics
Title
Applied time series econometrics
Statement of responsibility
edited by Helmut Lütkepohl, Markus Krätzig
Contributor
Editor
Subject
Language
eng
Summary
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses
Member of
Cataloging source
UkCbUP
Dewey number
330/.01/51955
Index
index present
LC call number
HA30.3
LC item number
.A67 2004
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorDate
1974-
http://library.link/vocab/relatedWorkOrContributorName
  • Lütkepohl, Helmut
  • Krätzig, Markus
Series statement
Themes in modern econometrics
http://library.link/vocab/subjectName
  • Time-series analysis
  • Econometrics
Label
Applied time series econometrics, edited by Helmut Lütkepohl, Markus Krätzig
Instantiates
Publication
Note
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig
Control code
CR9780511606885
Extent
1 online resource (xxv, 323 pages)
Form of item
online
Isbn
9780521547871
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
Label
Applied time series econometrics, edited by Helmut Lütkepohl, Markus Krätzig
Publication
Note
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig
Control code
CR9780511606885
Extent
1 online resource (xxv, 323 pages)
Form of item
online
Isbn
9780521547871
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote

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