Time Series and Dynamic Models (Themes in Modern Econometrics)

Gourieroux, Christian; Monfort, Alain

ISBN 10: 0521423082 / ISBN 13: 9780521423083

Published by Cambridge University Press, 1997

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Bibliographic Details

• Title: Time Series and Dynamic Models (Themes in Modern Econometrics)
• Publisher: Cambridge University Press
• Publication Date: 1997
• Language: English
• ISBN 10: 0521423082
• ISBN 13: 9780521423083
• Binding: Soft cover
• Condition: New

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.