bokomslag New Developments in Time Series Econometrics
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New Developments in Time Series Econometrics

Jean-Marie Dufour Baldev Raj

Pocket

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  • 250 sidor
  • 2012
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
  • Författare: Jean-Marie Dufour, Baldev Raj
  • Format: Pocket/Paperback
  • ISBN: 9783642487446
  • Språk: Engelska
  • Antal sidor: 250
  • Utgivningsdatum: 2012-04-28
  • Förlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K