Time Series Econometrics
A Concise Introduction
Published on 3. August 2015
Book
Hardback
VIII, 156 pages
978-1-137-52532-1 (ISBN)
Description
This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.
More details
Series
Edition
1st ed. 2015
Language
English
Place of publication
London
United Kingdom
Target group
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
With dust jacket
Illustrations
VIII, 156 p.
Dimensions
Height: 216 mm
Width: 140 mm
Thickness: 11 mm
Weight
340 gr
ISBN-13
978-1-137-52532-1 (9781137525321)
DOI
10.1057/9781137525338
Schweitzer Classification
Other editions
Additional editions
E-Book
08/2015
Palgrave Macmillan
€53.49
Available for download
Book
01/2014
Palgrave Macmillan
€85.59
The article will not be published
Person
Terence C. Mills is Professor of Applied Statistics and Econometrics at Loughborough University. He has published over 200 articles and books on topics ranging from economic history and the history of econometric thought, through economics, econometrics and finance, to health and well-being, climatology and meteorology.
Content
1. Introduction
2. Modelling Stationary Time Series: the ARMA Approach
3. Non-stationary Time Series: Differencing and ARIMA Modelling
4. Unit Roots and Related Topics
5. Modelling Volatility using GARCH Processes
6. Forecasting with Univariate Models
7. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality
8. Cointegration in Single Equations
9. Cointegration in Systems of Equations
10. Extensions and Developments
Index
2. Modelling Stationary Time Series: the ARMA Approach
3. Non-stationary Time Series: Differencing and ARIMA Modelling
4. Unit Roots and Related Topics
5. Modelling Volatility using GARCH Processes
6. Forecasting with Univariate Models
7. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality
8. Cointegration in Single Equations
9. Cointegration in Systems of Equations
10. Extensions and Developments
Index