This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis o...

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Bibliographic Details

Other Authors:	Dufour, Jean-Marie (Editor), Raj, Baldev (Editor)
Format:	Electronic eBook
Language:	English
Published:	Heidelberg Physica-Verlag HD 1994
Edition:	1st ed. 1994
Series:	Studies in Empirical Economics
Subjects:	Economic Theory/Quantitative Economics/Mathematical Methods Statistics for Business, Management, Economics, Finance, Insurance Economic theory Statistics  Zeitreihenanalyse Aufsatzsammlung
Online Access:	BTU01 Volltext
Summary:	This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area
Physical Description:	1 Online-Ressource (VI, 250 p. 59 illus)
ISBN:	9783642487422
DOI:	10.1007/978-3-642-48742-2