The Econometric Analysis of Time Series

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9780860031925: The Econometric Analysis of Time Series
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This new edition of A.C. Harvey's clearly written, upper-level text has been revised and several sections have been completely rewritten. There is new material on a number of topics, including unit roots, ARCH, and cointegration.

The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs. It explores the way in which recent advances in time series analysis have affected the development of a theory of dynamic econometrics, sets out an integrated approach to the problems of estimation and testing based on the method of maximum likelihood, and presents a coherent strategy for model selection.

A.C. Harvey is Professor of Econometrics at the London School of Economics.

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Review:



"At a time when there seems to be a plethora of textbooks on econometrics it is a pleasure to read one which is oriented toward an important and interesting aspect of the subject and is well written... invaluable to students and teachers of advanced undergraduate and graduate econometric theory courses."
The Economic Journal(review of the First Edition)

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