國立虎尾科技大學 |

Applied time series econometrics /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Applied time series econometrics // edited by Helmut Lütkepohl, Markus Krätzig.
other author:	Lütkepohl, Helmut,
Description:	1 online resource (xxv, 323 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Time-series analysis - Mathematical models. -
Online resource:	https://doi.org/10.1017/CBO9780511606885
ISBN:	9780511606885 (ebook)

Applied time series econometrics /
Applied time series econometrics /edited by Helmut Lütkepohl, Markus Krätzig. - 1 online resource (xxv, 323 pages) :digital, PDF file(s). - Themes in modern econometrics. - Themes in modern econometrics..

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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.

Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.

ISBN: 9780511606885 (ebook)Subjects--Topical Terms:

561568
Time-series analysis
--Mathematical models.

LC Class. No.: HA30.3 / .A67 2004

Dewey Class. No.: 330/.01/51955

Applied time series econometrics /
LDR:02587nam a2200313 i 4500 001 1126593
003 UkCbUP
005 20151005020621.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 240926s2004||||enk o ||1 0|eng|d
020 $a 9780511606885 (ebook)
020 $z 9780521839198 (hardback)
020 $z 9780521547871 (paperback)
035 $a CR9780511606885
040 $a UkCbUP $b eng $e rda $c UkCbUP
050 0 0 $a HA30.3 $b .A67 2004
082 0 0 $a 330/.01/51955 $2 22
245 0 0 $a Applied time series econometrics / $c edited by Helmut Lütkepohl, Markus Krätzig.
264 1 $a Cambridge : $b Cambridge University Press, $c 2004.
300 $a 1 online resource (xxv, 323 pages) : $b digital, PDF file(s).
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
490 1 $a Themes in modern econometrics
500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
505 0 $a 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.
520 $a Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
650 0 $a Time-series analysis $x Mathematical models. $3 561568
650 0 $a Econometrics. $3 556981
700 1 $a Lütkepohl, Helmut, $e editor. $3 1445501
700 1 $a Krätzig, Markus, $d 1974- $e editor. $3 1445502
776 0 8 $i Print version: $z 9780521839198
830 0 $a Themes in modern econometrics. $3 1340075
856 4 0 $u https://doi.org/10.1017/CBO9780511606885