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Record Nr. |
UNINA9910438069303321 |
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Autore |
Kirchgässner Gebhard |
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Titolo |
Introduction to Modern Time Series Analysis / / by Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler |
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Pubbl/distr/stampa |
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Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 |
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ISBN |
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Edizione |
[2nd ed. 2013.] |
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Descrizione fisica |
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1 online resource (325 p.) |
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Collana |
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Springer Texts in Business and Economics, , 2192-4333 |
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Disciplina |
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Soggetti |
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Econometrics |
Statistics |
Game theory |
Macroeconomics |
Statistics for Business, Management, Economics, Finance, Insurance |
Game Theory, Economics, Social and Behav. Sciences |
Macroeconomics/Monetary Economics//Financial Economics |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Introduction and Basics -- Univariate Stationary Processes -- Granger Causality -- Vector Autoregressive Processes -- Nonstationary Processes -- Cointegration -- Nonstationary Panel Data -- Autoregressive Conditional Heteroscedasticity. |
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Sommario/riassunto |
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This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series |
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