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Time Series

The International Library of Critical Writings in Econometrics Series v. 5

Edited by Andrew Harvey
Genres: Econometrics
Format: Hardback
Publisher: Edward Elgar Publishing Ltd, Cheltenham, United Kingdom
Published: 17th Nov 1994
Dimensions: w 244mm h 169mm d 76mm
Weight: 1900g
ISBN-10: 1852786620
ISBN-13: 9781852786625
Barcode No: 9781852786625
Synopsis
The last 20 years have witnessed a considerable increase in the use of time series techniques in econometrics. The articles in this important set have been chosen to illustrate the main themes in time series work as it relates to econometrics. The editor has written a new concise introduction to accompany the articles. Sections covered include: Ad Hoc Forecasting Procedures, ARIMA Modelling, Structural Time Series Models, Unit Roots, Detrending and Non-stationarity, Seasonality, Seasonal Adjustment and Calendar Effects, Dynamic Regression and Intervention Analysis, Multivariate Models, Causality, Exogeneity and Expectations, State Space Models and the Kalman Filter, Non-Linear and Non-Gaussian Models.

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'The list of contributors is impressive ... The two volumes are recommended and will provide a useful addition to private bookshelves and libraries.' -- K. Hadri, The Economic Journal '... a convenient and useful resource for the researcher in econometric time series modelling or libraries.' -- Journal of the American Statistical Association