Time Series Econometrics: A Concise Introduction

✍ Scribed by Terence C. Mills (auth.)

Publisher: Palgrave Macmillan UK
Year: 2015
Tongue: English
Leaves: 165
Series: Palgrave Texts in Econometrics
Category: Library

No coin nor oath required. For personal study only.

✦ Table of Contents

Front Matter....Pages i-viii
Introduction....Pages 1-4
Modelling Stationary Time Series: the ARMA Approach....Pages 5-40
Non-stationary Time Series: Differencing and ARIMA Modelling....Pages 41-57
Unit Roots and Related Topics....Pages 58-71
Modelling Volatility using GARCH Processes....Pages 72-84
Forecasting with Univariate Models....Pages 85-97
Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality....Pages 98-113
Cointegration in Single Equations....Pages 114-133
Cointegration in Systems of Equations....Pages 134-146
Extensions and Developments....Pages 147-152
Back Matter....Pages 153-156

✦ Subjects

Econometrics; Finance, general

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