Time Series Econometrics

• Main Author: Neusser, Klaus (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Series: Springer Texts in Business and Economics,
• Subjects: Statistics.; Econometrics.; Macroeconomics.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Statistics for Business/Economics/Mathematical Finance/Insurance.

This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-mov...

Table of Contents:

• 1. Introduction
• 2. ARMA models
• 3. Forecasting stationary processes
• 4. Estimation of Mean and Autocovariance Function
• 5.Estimation of ARMA Models
• 6. Spectral Analysis and Linear Filters
• 7. Integrated Processes
• 8. Models of Volatility
• 9. Multivariate Time series
• 10. Estimation of Covariance Function
• 11. VARMA Processes
• 12. Estimation of VAR Models
• 13. Forecasting with VAR Models
• 14. Interpretation of VAR Models
• 15. Co-integration
• 16. The Kalman Filter
• 17. Appendices.