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Focusing on modern time series analysis, this text explores its applications in economics, starting with stationary time series and ARMA models. It addresses non-stationary series and their implications for forecasting, alongside volatility models like GARCH for financial data analysis. The book further delves into multivariate processes, including VAR and SVAR models, essential for empirical macroeconomics. Concluding with co-integrated models and the Kalman Filter, it offers a mathematically rigorous yet practical approach, ideal for advanced undergraduates and beginning graduate students familiar with statistics or econometrics.
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Time Series Econometrics, Klaus Neusser
- Language
- Released
- 2016
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- Title
- Time Series Econometrics
- Language
- English
- Authors
- Klaus Neusser
- Publisher
- Springer International Publishing
- Publisher
- 2016
- Format
- Hardcover
- Pages
- 436
- ISBN13
- 9783319328614
- Category
- Business and Economics, Mathematics
- Description
- Focusing on modern time series analysis, this text explores its applications in economics, starting with stationary time series and ARMA models. It addresses non-stationary series and their implications for forecasting, alongside volatility models like GARCH for financial data analysis. The book further delves into multivariate processes, including VAR and SVAR models, essential for empirical macroeconomics. Concluding with co-integrated models and the Kalman Filter, it offers a mathematically rigorous yet practical approach, ideal for advanced undergraduates and beginning graduate students familiar with statistics or econometrics.