Applied Time Series Econometrics
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Applied Time Series Econometrics
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Author : Helmut Lütkepohl
language : en
Publisher: Cambridge University Press
Release Date : 2004-08-02
Applied Time Series Econometrics written by Helmut Lütkepohl and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-08-02 with Business & Economics categories.
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Applied Time Series Analysis
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Author : Terence C. Mills
language : en
Publisher: Academic Press
Release Date : 2019-02-08
Applied Time Series Analysis written by Terence C. Mills and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-08 with Business & Economics categories.
Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others. Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study Covers both univariate and multivariate techniques in one volume Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples
Applied Econometric Times Series
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Author : Walter Enders
language : en
Publisher: Wiley
Release Date : 2014-11-03
Applied Econometric Times Series written by Walter Enders and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-03 with Business & Economics categories.
Applied Time Series Modelling And Forecasting
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Author : Richard Harris
language : en
Publisher: Wiley
Release Date : 2003-06-02
Applied Time Series Modelling And Forecasting written by Richard Harris and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-06-02 with Business & Economics categories.
This book covers time series modeling and forecasting for econometrics and finance students. This new edition has been simplified for more ease of use and includes new chapters and substantial important revisions.
Applied Econometric Time Series
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Author : Walter Enders
language : en
Publisher: Wiley
Release Date : 2014-11-03
Applied Econometric Time Series written by Walter Enders and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-03 with Business & Economics categories.
Applied Econometric Time Series, 4th Edition demonstrates modern techniques for developing models capable of forecasting, interpreting, and testing hypotheses concerning economic data. In this text, Dr. Walter Enders commits to using a “learn-by-doing” approach to help readers master time-series analysis efficiently and effectively.
Introduction To Modern Time Series Analysis
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Author : Gebhard Kirchgässner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-10-09
Introduction To Modern Time Series Analysis written by Gebhard Kirchgässner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-09 with Business & Economics categories.
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Applied Time Series Analysis And Forecasting With Python
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Author : Changquan Huang
language : en
Publisher: Springer Nature
Release Date : 2022-10-19
Applied Time Series Analysis And Forecasting With Python written by Changquan Huang and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-10-19 with Mathematics categories.
This textbook presents methods and techniques for time series analysis and forecasting and shows how to use Python to implement them and solve data science problems. It covers not only common statistical approaches and time series models, including ARMA, SARIMA, VAR, GARCH and state space and Markov switching models for (non)stationary, multivariate and financial time series, but also modern machine learning procedures and challenges for time series forecasting. Providing an organic combination of the principles of time series analysis and Python programming, it enables the reader to study methods and techniques and practice writing and running Python code at the same time. Its data-driven approach to analyzing and modeling time series data helps new learners to visualize and interpret both the raw data and its computed results. Primarily intended for students of statistics, economics and data science with an undergraduate knowledge of probability and statistics, the book will equally appeal to industry professionals in the fields of artificial intelligence and data science, and anyone interested in using Python to solve time series problems.
Applied Time Series Econometrics
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Author : Geda, Alemayehu
language : en
Publisher: University of Nairobi Press
Release Date : 2015-03-16
Applied Time Series Econometrics written by Geda, Alemayehu and has been published by University of Nairobi Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-16 with Business & Economics categories.
This book attempts to demystify time series econometrics so as to equip macroeconomic researchers focusing on Africa with solid but accessible foundation in applied time series techniques that can deal with challenges of developing economic models using African data.
Elements Of Time Series Econometrics An Applied Approach
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Author : Kočenda, Evžen
language : cs
Publisher: Charles University in Prague, Karolinum Press
Release Date : 2015-12-01
Elements Of Time Series Econometrics An Applied Approach written by Kočenda, Evžen and has been published by Charles University in Prague, Karolinum Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-01 with Business & Economics categories.
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into five major sections. The first section, “The Nature of Time Series”, gives an introduction to time series analysis. The second section, “Difference Equations”, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, “Univariate Time Series”, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, “Multiple Time Series”, deals with time series models of multiple interrelated variables. The fifth section “Panel Data and Unit Root Tests”, deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables. Kniha přináší soubor základních i pokročilých technik a postupů používaných v ekonometrické analýze časových řad. Kniha klade důraz na umožnění efektivního použití popsaných technik v aplikovaném ekonomickém výzkumu. Toho je dosaženo tím, že teoretické základy popsané ekonometrie jsou prezentovány spolu s intuitivním vysvětlením problematiky a jednotlivé techniky jsou ilustrovány na výsledcích současného výzkumu a to především v kontextu procesu nedávné ekonomické transformace a současné evropské integrace. Toto pojetí z knihy činí nejen učebnici v klasickém smyslu, ale také užitečný referenční zdroj neboť odkazy v knize spojují klasickou i moderní ekonometrickou literaturu se soudobými aplikacemi, na nichž je použití jednotlivých technik jasně pochopitelné. Mnohá použití vycházejí z bohaté předchozí práce autorů v oboru. Text knihy je rozdělen do pěti hlavních částí. První část, “The Nature of Time Series”, přináší úvod do analýzy časových řad a popis jejich nejdůležitějších charakteristik, vlastností a procesů. Druhá část, “Difference Equations”, stručně popisuje teorii diferenciálních rovnic s důrazem na aspekty, které jsou klíčové v ekonometrii časových řad. Třetí část, “Univariate Time Series”, poměrně rozsáhle popisuje techniky, které se používají při analýze jednotlivých časových řad bez jejich vzájemené interakce a zahrnuje jak lineární tak nelineární modelované struktury. Čtvrtá část, “Multiple Time Series”, popisuje modely které umožňují analýzu několika časových řad a jejich vzájemných interakcí. Pátá část “Panel Data and Unit Root Tests”, zahrnuje některé techniky postavené na panelových datech, jež k průřezovým datům přidávají časovou dimenzi a vztahují se k analýze konvergence. Závěr knihy je doplněn o úvod do simulační techniky a statistické tabulky
Elements Of Time Series Econometrics An Applied Approach
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Author : Evžen Kočenda
language : en
Publisher: Karolinum Press
Release Date : 2014-03-01
Elements Of Time Series Econometrics An Applied Approach written by Evžen Kočenda and has been published by Karolinum Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-01 with Business & Economics categories.
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into four major sections. The first section, "The Nature of Time Series?, gives an introduction to time series analysis. The second section, "Difference Equations?, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, "Univariate Time Series?, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, "Multiple Time Series?, deals with time series models of multiple interrelated variables. Appendices contain an introduction to simulation techniques and statistical tables.