Applied time series econometrics:
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 literatur...
Gespeichert in:
| Weitere Verfasser: | , |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2004
|
| Schriftenreihe: | Themes in modern econometrics
|
| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 UBG01 UBR01 UBW01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 Online-Ressource (xxv, 323 Seiten) Diagramme |
| ISBN: | 9780511606885 |
| DOI: | 10.1017/CBO9780511606885 |
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Datensatz im Suchindex
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| author2 | Lütkepohl, Helmut 1951- Krätzig, Markus 1974- |
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| building | Verbundindex |
| bvnumber | BV043919863 |
| classification_rvk | QH 237 QH 300 SK 845 |
| collection | ZDB-20-CBO |
| 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 |
| ctrlnum | (ZDB-20-CBO)CR9780511606885 (OCoLC)755056053 (DE-599)BVBBV043919863 |
| dewey-full | 330/.01/51955 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/51955 |
| dewey-search | 330/.01/51955 |
| dewey-sort | 3330 11 551955 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511606885 |
| format | Electronic eBook |
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| isbn | 9780511606885 |
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| spelling | Applied time series econometrics edited by Helmut Lütkepohl, European Institute, Florence, Markus Krätzig, Humboldt University, Berlin Cambridge Cambridge University Press 2004 1 Online-Ressource (xxv, 323 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier Themes in modern econometrics Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 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 Mathematisches Modell Time-series analysis / Mathematical models Econometrics Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Zeitreihenanalyse (DE-588)4067486-1 s Ökonometrisches Modell (DE-588)4043212-9 s 2\p DE-604 Ökonometrie (DE-588)4132280-0 s 3\p DE-604 Lütkepohl, Helmut 1951- (DE-588)10979544X edt Krätzig, Markus 1974- (DE-588)129932108 edt Erscheint auch als Druck-Ausgabe, Hardcover 978-0-521-83919-8 Erscheint auch als Druck-Ausgabe, Paperback 978-0-521-54787-1 https://doi.org/10.1017/CBO9780511606885 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Applied time series econometrics 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 Mathematisches Modell Time-series analysis / Mathematical models Econometrics Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4043212-9 (DE-588)4067486-1 (DE-588)4143413-4 |
| title | Applied time series econometrics |
| title_auth | Applied time series econometrics |
| title_exact_search | Applied time series econometrics |
| title_full | Applied time series econometrics edited by Helmut Lütkepohl, European Institute, Florence, Markus Krätzig, Humboldt University, Berlin |
| title_fullStr | Applied time series econometrics edited by Helmut Lütkepohl, European Institute, Florence, Markus Krätzig, Humboldt University, Berlin |
| title_full_unstemmed | Applied time series econometrics edited by Helmut Lütkepohl, European Institute, Florence, Markus Krätzig, Humboldt University, Berlin |
| title_short | Applied time series econometrics |
| title_sort | applied time series econometrics |
| topic | Mathematisches Modell Time-series analysis / Mathematical models Econometrics Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Mathematisches Modell Time-series analysis / Mathematical models Econometrics Ökonometrie Ökonometrisches Modell Zeitreihenanalyse Aufsatzsammlung |
| url | https://doi.org/10.1017/CBO9780511606885 |
| work_keys_str_mv | AT lutkepohlhelmut appliedtimeserieseconometrics AT kratzigmarkus appliedtimeserieseconometrics |