Time Series Econometrics: A Concise Introduction

✍ Scribed by Terence C. Mills

• Publisher: Palgrave Macmillan
• Year: 2015
• Tongue: English
• Leaves: 169
• Series: Palgrave Texts in Econometrics
• Category: Library

✦ Synopsis

This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy rather than just having a working knowledge of a set of academically constructed models of some abstract aspects of an artificial economy.

Key concepts are introduced and illustrated with a set of examples using current UK and US data, with full details on how these examples may be computed being provided. The content is thus designed for students and researchers in economics and finance to make initial forays into handling time series data.

✦ Table of Contents

1. Introduction
2. Modelling Stationary Time Series: the ARMA Approach
3. Non-stationary Time Series: Differencing and ARIMA Modelling
4. Unit Roots and Related Topics
5. Modelling Volatility using GARCH Processes
6. Forecasting with Univariate Models
7. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality
8. Cointegration in Single Equations
9. Cointegration in Systems of Equations
10. Extensions and Developments
    Index

✦ Subjects

Финансово-экономические дисциплины;Эконометрика;