New Developments in Time Series Econometrics

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.

Product details

• Publisher: Physica Verlag
• Languages: English
• Product format: Hardback
• Released: 01.01.1994
• EAN: 9783790807660
• ISBN: 978-3-7908-0766-0
• No. of pages: 250
• Weight: 494 g
• Illustrations: w. 28 figs.
• Series: Studies in Empirical Economics