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Synopsis
In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.
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Review
'This is a well done introduction to both classical and modern time series models and techniques. Throughout, the authors have managed to keep a sound balance between mathematical rigor (which is always present, but never emphasized or celebrated for its own sake) and user-friendliness of presentation. I found this mixture very easy to digest. Another strong point of the book is its technical competence. In almost every line, one feels that two of the most brilliant present-day theoretical econometricians are at work. Review in Statistical Papers
Book Description
This is the first fully comprehensive textbook to integrate traditional and modern time series econometric modelling. The mathematical rigour of the book is high but excessive technicalities have been avoided. The coverage represents a major reference tool for graduate students, researchers and applied economists.
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- PublisherCambridge University Press
- Publication date2008
- ISBN 10 0521423082
- ISBN 13 9780521423083
- BindingPaperback
- LanguageEnglish
- Number of pages688
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Time Series and Dynamic Models
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Cambridge University Press, 1997
ISBN 10: 0521423082
ISBN 13: 9780521423083
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Time Series and Dynamic Models (Themes in Modern Econometrics)
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Time Series and Dynamic Models (Themes in Modern Econometrics)
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Paperback. Condition: Very Good. Time Series and Dynamic Models (Themes in Modern Econometrics) This book is in very good condition and will be shipped within 24 hours of ordering. The cover may have some limited signs of wear but the pages are clean, intact and the spine remains undamaged. This book has clearly been well maintained and looked after thus far. Money back guarantee if you are not satisfied. See all our books here, order more than 1 book and get discounted shipping. Seller Inventory # 7719-9780521423083
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Time Series and Dynamic Models
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ISBN 10: 0521423082
ISBN 13: 9780521423083
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Time Series and Dynamic Models (Themes in Modern Econometrics)
Published by
Cambridge University Press, 1997
ISBN 10: 0521423082
ISBN 13: 9780521423083
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Time Series and Dynamic Models.; (Themes in Modern Econometrics)
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Cambridge University Press, 1997
ISBN 10: 0521423082
ISBN 13: 9780521423083
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Time Series and Dynamic Models (Themes in Modern Econometrics)
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ISBN 10: 0521423082
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Time Series and Dynamic Models (Themes in Modern Econometrics)
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ISBN 10: 0521423082
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Time Series and Dynamic Models (Paperback)
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ISBN 10: 0521423082
ISBN 13: 9780521423083
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Paperback. Condition: new. Paperback. Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas. An analysis of traditional and modern time series econometrics. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Seller Inventory # 9780521423083
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Time Series and Dynamic Models
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ISBN 13: 9780521423083
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