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Applied time series econometrics

✍ Scribed by Helmut Lütkepohl; Markus Krätzig

Publisher
Cambridge University Press
Year
2004
Tongue
English
Leaves
350
Series
Themes in modern econometrics
Category
Library
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✦ Table of Contents


Content: 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.

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