Applied Time Series Econometrics (Themes in Modern Econometrics) - Softcover

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9780521547871: Applied Time Series Econometrics (Themes in Modern Econometrics)
Softcover
ISBN 10: 0521547873 ISBN 13: 9780521547871
Publisher: Cambridge University Press, 2004

Synopsis

Time series econometrics is used for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. A model has to be constructed, accordingly, to describe the data generation process and to estimate its parameters. Modern tools to accomplish these tasks are provided in this volume, which also demonstrates by example how the tools can be applied.

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About the Authors

Helmut Lütkepohl is Professor of Economics at the European University Institute in Florence, Italy. He is on leave from Humboldt University Berlin where he has been Professor of Econometrics in the Faculty of Economics and Business Administration since 1992. He had previously been Professor of Statistics at the University of Kiel (1987–1992) and the University of Hamburg (1985-1987) and was Visiting Assistant Professor at the University of California, San Diego (1984-85). Professor Lütkepohl is Associate Editor of Econometric Theory, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviewa. He has published extensively in learned journals and books and is author, co-author and editor of a number of books in econometrics and time series analysis. Professor Lütkepohl is the author of Introduction to Multiple Time Series Analysis (1991) and a Handbook of Matrices (1996). His current teaching and research interests include methodological issues related to the study of nonstationary, integrated time series and the analysis of the transmission mechanism of monetary policy in the Euro area.

Markus Krätzig is a doctoral student in the Department of Economics at Humboldt University, Berlin.

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Publisher
Cambridge University Press
Publication date
2004
Language
English
ISBN 10 
0521547873
ISBN 13 
9780521547871
Binding
Paperback
Number of pages
352
Editor
Lütkepohl Helmut, Krätzig Markus
Rating
  • 4.33 out of 5 stars
    18 ratings by Goodreads

Other Popular Editions of the Same Title

9780521839198: Applied Time Series Econometrics (Themes in Modern Econometrics)

Featured Edition

ISBN 10:  052183919X ISBN 13:  9780521839198
Publisher: Cambridge University Press, 2004
Hardcover