rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Analysis of Integrated and Cointegrated Time Series with R
  title info:
    title: R-code for examples in the book
  name:
    name part: Pfaff, Bernhard.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: xxu
    date issued: 2008
    edition: 2.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XX, 190 p. online resource.
  abstract: The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and co-integration methods on his own by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and multivariate time series models. The book is enriched by numerous programming examples to artificial and real data so that it is ideally suited as an accompanying text book to computer lab classes. The second edition adds a discussion of vector auto-regressive, structural vector auto-regressive, and structural vector error-correction models. To analyze the interactions between the investigated variables, further impulse response function and forecast error variance decompositions are introduced as well as forecasting. The author explains how these model types relate to each other.
  table of contents: Theoretical Concepts -- Univariate Analysis of Stationary Time Series -- Multivariate Analysis of Stationary Time Series -- Non-stationary Time Series -- Cointegration -- Unit Root Tests -- Testing for the Order of Integration -- Further Considerations -- Cointegration -- Single-Equation Methods -- Multiple-Equation Methods.
  note: by Bernhard Pfaff.
  subject:
    topic: Mathematical statistics
  subject:
    topic: Probabilities
  subject:
    topic: Statistics
  subject:
    topic: Econometrics
  subject:
    topic: Economics
  subject:
    topic: Econometrics
  subject:
    topic: Statistical Theory and Methods
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Probability and Statistics in Computer Science
  classification: HB139-141
  classification: 330.015195
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Use R!
  identifier: 9780387759678
  identifier: http://dx.doi.org/10.1007/978-0-387-75967-8
  record info:
    record creation date: 100301
    record change date: 20151204172401.0
    record identifier: 978-0-387-75967-8