Time Series Econometrics
Author:   Klaus Neusser
Publisher:   Springer International Publishing AG
Edition:   1st ed. 2016
ISBN:  

9783319328614


Pages:   409
Publication Date:   21 June 2016
Replaced By:   9783031888373
Format:   Hardback
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

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Time Series Econometrics


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Full Product Details

Author:   Klaus Neusser
Publisher:   Springer International Publishing AG
Imprint:   Springer International Publishing AG
Edition:   1st ed. 2016
Dimensions:   Width: 15.50cm , Height: 2.40cm , Length: 23.50cm
Weight:   7.745kg
ISBN:  

9783319328614


ISBN 10:   3319328611
Pages:   409
Publication Date:   21 June 2016
Audience:   College/higher education ,  Undergraduate ,  Postgraduate, Research & Scholarly
Replaced By:   9783031888373
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

1. Introduction.- 2. ARMA models.- 3. Forecasting stationary processes.- 4. Estimation of Mean and Autocovariance Function.- 5.Estimation of ARMA Models.- 6. Spectral Analysis and Linear Filters.- 7. Integrated Processes.- 8. Models of Volatility.- 9. Multivariate Time series.- 10. Estimation of Covariance Function.- 11. VARMA Processes.- 12. Estimation of VAR Models.- 13. Forecasting with VAR Models.- 14. Interpretation of VAR Models.- 15. Co-integration.- 16. The Kalman Filter.- 17. Appendices.

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)


“Neusser offers an important addition to the market for books on time series econometrics, and definitely fills a gap within the market and complements existing offerings. This is an excellent effort, and I have enjoyed the book.” (Benjamin Wong, Economic Record, Vol. 95 (310), September, 2019) “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)


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Prof. Klaus Neusser

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