Recent Developments in Time Series (The International Library of Critical Writings in Econometrics series) - Hardcover

Hardcover

ISBN 10: 1840649518 ISBN 13: 9781840649512

Publisher: Edward Elgar Publishing Ltd, 2003

Synopsis

This authoritative collection brings together the most important papers in time series econometrics published since 1990. These articles cover a range of central aspects of the field, concentrating in the main on theoretical and methodological developments. Taken together, they provide an overview of the current status of research in time series econometrics, emphasising those areas that appear to have attracted most recent interest in the profession.

Volume I includes sections on unit root and stationarity tests; cointegration; structural breaks; nonlinearity; and long memory. Volume II covers conditional heteroskedasticity; stochastic volatility; unobserved components; trend function analysis; prediction; seasonality; and causality.

These volumes will be essential reading for all who have an interest in this rapidly advancing subject.

About this title

About the Author

Edited by Paul Newbold and Stephen J. Leybourne, Professors of Econometrics, University of Nottingham, UK

Edition details

• Publisher: Edward Elgar Publishing Ltd
• Publication date: 2003
• Language: English
• ISBN 10: 1840649518
• ISBN 13: 9781840649512
• Binding: Hardcover
• Number of pages: 1200
• Editor: Newbold Paul, Leybourne Stephen J.