Focusing on research published since 1990, this 2-volume set contains 50 papers arranged in sections covering unit root and stationarity tests; cointegration; structural breaks; nonlinearity; long memory; conditional heteroskedasticity; stochastic volatility; unobserved components; trend function analysis; prediction; seasonality; and causality. The papers were originally published in periodicals such as the Journal of Econometrics , Economic Theory , the Journal of Business and Economic Statistics , Econometrica , the International Economic Review , the Journal of the American Statistical Association , and the Journal of Time Series Analysis . Indexed by author only. Annotation (c) Book News, Inc., Portland, OR (booknews.com)
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Paul Newbold and Stephen J. Leybourne, Professors of Econometrics, University of Nottingham, UK
`To summarise, these two volumes reach exactly the purpose they aim at. They represent an excellent reference for the academic researcher as they really contain some of the most important papers on time series analysis that have been written in the last decade.' -- Marco R. Barassi, The Economic Journal
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