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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.
| Serija: | Studies in Empirical Economics |
| Leidėjas: | Physica-Verlag HD |
| Išleidimo metai: | 2012 |
| Knygos puslapių skaičius: | 260 |
| ISBN-10: | 3642487440 |
| ISBN-13: | 9783642487446 |
| Formatas: | 244 x 170 x 15 mm. Knyga minkštu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „New Developments in Time Series Econometrics“
