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  • Ký hiệu PL/XG: 330.015195 N496
    Nhan đề: Time series econometrics /
ISBN 9783319328614
DDC 330.015195
Tác giả CN Neusser, Klaus.
Nhan đề Time series econometrics / Klaus Neusser.
Thông tin xuất bản Switzerland : Springer, 2016.
Mô tả vật lý 421 pages : illustrations
Tóm tắt 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-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students
Thuật ngữ chủ đề Macroeconomics
Thuật ngữ chủ đề Econometrics
Thuật ngữ chủ đề Econometric models
Thuật ngữ chủ đề Time-series analysis
Từ khóa tự do Statistics
Khoa Khoa Tài chính - Kế toán
Khoa Khoa Quản trị Kinh doanh
Địa chỉ Thư Viện Đại học Nguyễn Tất Thành
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041 |aeng
044 |asz
082 |a330.015195|bN496|223
100 |aNeusser, Klaus.
245 |aTime series econometrics /|cKlaus Neusser.
260 |aSwitzerland : |bSpringer, |c2016.
300 |a421 pages : |billustrations
504 |aIncludes bibliographical references (pages 403 -414) and index.
520 |aThis 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-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students
541 |aSpringer
650 |aMacroeconomics
650 |aEconometrics
650 |aEconometric models
650 |aTime|xseries analysis
653 |aStatistics
690 |aKhoa Tài chính - Kế toán
690 |aKhoa Quản trị Kinh doanh
852 |aThư Viện Đại học Nguyễn Tất Thành
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