Applied Time Series Econometrics Paperback (Themes in Modern Econometrics)

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9780521547871: Applied Time Series Econometrics Paperback (Themes in Modern Econometrics)

The cointegration revolution has had a substantial impact on applied analysis. The methods for conducting this analysis are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can be used as a textbook for courses on applied time series econometrics.

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About the Author:

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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Lütkepohl; Krätzig
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2009)
ISBN 10: 0521547873 ISBN 13: 9780521547871
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Estado de conservación: New. 223 x 152 mm. Language: English . Brand New Book. Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses. Nº de ref. de la librería AAU9780521547871

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Descripción Cambridge University Press. Paperback. Estado de conservación: new. BRAND NEW, Applied Time Series Econometrics, Helmut Lutkepohl, Markus Kraetzig, Peter C. B. Phillips, Eric Ghysels, Richard J. Smith, Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses. Nº de ref. de la librería B9780521547871

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ISBN 10: 0521547873 ISBN 13: 9780521547871
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Descripción Cambridge University Press 2004-08-04, Cambridge, 2004. paperback. Estado de conservación: New. Nº de ref. de la librería 9780521547871

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Descripción Cambridge University Press, 2004. Estado de conservación: New. A demonstration of how time series econometrics can be used in economics and finance. Editor(s): Lutkepohl, Helmut; Kraetzig, Markus. Series Editor(s): Phillips, Peter C. B.; Ghysels, Eric; Smith, Richard J. Series: Themes in Modern Econometrics. Num Pages: 352 pages, 69 b/w illus. 38 tables. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 229 x 154 x 21. Weight in Grams: 536. Series: Themes in Modern Econometrics. 352 pages, 69 b/w illus. 38 tables. Editor(s): Lutkepohl, Helmut; Kraetzig, Markus. A demonstration of how time series econometrics can be used in economics and finance. Cateogry: (P) Professional & Vocational. BIC Classification: KCH. Dimension: 229 x 154 x 21. Weight: 544. Series Editor(s) :Phillips, Peter C.B.; Ghysels, Eric; Smith, Richard J. . 2004. illustrated edition. Paperback. . . . . . Nº de ref. de la librería V9780521547871

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Lütkepohl; Krätzig
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ISBN 10: 0521547873 ISBN 13: 9780521547871
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2009. Paperback. Estado de conservación: New. 223 x 152 mm. Language: English . Brand New Book. Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses. Nº de ref. de la librería AAU9780521547871

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Lütkepohl; Krätzig
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Descripción Cambridge University Press. Estado de conservación: New. A demonstration of how time series econometrics can be used in economics and finance. Editor(s): Lutkepohl, Helmut; Kraetzig, Markus. Series Editor(s): Phillips, Peter C. B.; Ghysels, Eric; Smith, Richard J. Series: Themes in Modern Econometrics. Num Pages: 352 pages, 69 b/w illus. 38 tables. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 229 x 154 x 21. Weight in Grams: 536. Series: Themes in Modern Econometrics. 352 pages, 69 b/w illus. 38 tables. Editor(s): Lutkepohl, Helmut; Kraetzig, Markus. A demonstration of how time series econometrics can be used in economics and finance. Cateogry: (P) Professional & Vocational. BIC Classification: KCH. Dimension: 229 x 154 x 21. Weight: 544. Series Editor(s) :Phillips, Peter C.B.; Ghysels, Eric; Smith, Richard J. . 2004. illustrated edition. Paperback. . . . . Books ship from the US and Ireland. Nº de ref. de la librería V9780521547871

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Descripción Cambridge University Press, 2004. PAP. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería BB-9780521547871

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Descripción Paperback. Estado de conservación: New. Not Signed; Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literatur. book. Nº de ref. de la librería ria9780521547871_rkm

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Lütkepohl; Krätzig
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Descripción Cambridge University Press, 2016. Paperback. Estado de conservación: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Nº de ref. de la librería ria9780521547871_lsuk

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Descripción Cambridge University Press, 2004. Estado de conservación: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Preface; Notation and abbreviations; List of contributors; Part I. Initial Tasks and Overview Helmut Ltkepohl: 1. Introduction; 2. Setting up an econometric project; 3. Getting data; 4. Data handling; 5. Outline of chapters; Part II. Univariate Time Series Analysis Helmut Ltkepohl: 6. Characteristics of time series; 7. Stationary and integrated stochastic processes; 8. Some popular time series models; 9. Parameter estimation; 10. Model specification; 11. Model checking; 12. Unit root tests; 13. Forecasting univariate time series; 14. Examples; 15. Where to go from here; Part III. Vector Autoregressive and Vector Error Correction Models Helmut Ltkepohl: 16. Introduction; 17. VARs and VECMs; 18. Estimation; 19. Model specification; 20. Model checking; 21. Forecasting VAR processes and VECMs; 22. Granger-causality analysis; 23. An example; 24. Extensions; Part IV. Structural Vector Autoregressive Modelling and Impulse Responses Jrg Breitung, Ralf Brggemann and Helmut Ltkepohl: 25. Introduction; 26. The models; 27. Impulse response analysis; 28. Estimation of structural parameters; 29. Statistical inference for impulse responses; 30. Forecast error variance decomposition; 31. Examples; 32. Conclusions; Part V. Conditional Heteroskedasticity Helmut Herwartz: 33. Stylized facts of empirical price processes; 34. Univariate GARCH models; 35. Multivariate GARCH models; Part VI. Smooth Transition Regression Modelling Timo Tersvirta: 36. Introduction; 37. The model; 38. The modelling cycle; 39. Two empirical examples; 40. Final remarks; Part VII. Nonparametric Time Series Modelling Rolf Tschernig: 41. Introduction; 42. Local linear estimation; 43. Bandwidth and lag selection; 44. Diagnostics; 45. Modelling the conditional volatility; 46. Local linear seasonal modelling; 47. Example I: average weekly working hours in the United States; 48. Example II: XETRA dax index; Part VIII. The Software JMulTi Markus Krtzig: 49. Introduction to JMulTi; 50. Numbers, dates and variables in JMulTi; 51. Handling data sets; 52. Selecting, transforming and creating time series; 53. Managing variables in JMulTi; 54. Notes for econometric software developers; 55. Conclusion; References; Index. Nº de ref. de la librería ABE_book_new_0521547873

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