Time Series and Dynamic Models

Christian Gourieroux

ISBN 10: 0521411467 / ISBN 13: 9780521411462

Published by Cambridge University Press, 1996

About this Item

Druck auf Anfrage Neuware - Printed after ordering - In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.

Seller Inventory # 9780521411462

Bibliographic Details

• Title: Time Series and Dynamic Models
• Publisher: Cambridge University Press
• Publication Date: 1996
• Language: English
• ISBN 10: 0521411467
• ISBN 13: 9780521411462
• Binding: Buch
• Condition: Neu
• Dimensions: 235W x 157H x 45D millimeters 235 millimeters width by 157 millimeters height by 45 millimeters depth
• Weight: 1251 grams

About this title

Synopsis

Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas.

Book Description

Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. One of its most attractive features is the close attention it pays throughout to economic models and phenomena.