Applied Time Series Econometrics

Helmut Lutkepohl

ISBN 10: 052183919X / ISBN 13: 9780521839198

Published by Cambridge University Press, 2004

About this Item

Druck auf Anfrage Neuware - Printed after ordering - Time series econometrics is used for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. A model has to be constructed, accordingly, to describe the data generation process and to estimate its parameters. Modern tools to accomplish these tasks are provided in this volume, which also demonstrates by example how the tools can be applied.

Seller Inventory # 9780521839198

Bibliographic Details

• Title: Applied Time Series Econometrics
• Publisher: Cambridge University Press
• Publication Date: 2004
• Language: English
• ISBN 10: 052183919X
• ISBN 13: 9780521839198
• Binding: Buch
• Condition: Neu
• Dimensions: 235W x 157H x 25D millimeters 235 millimeters width by 157 millimeters height by 25 millimeters depth
• Weight: 722 grams

About this title

Synopsis

A demonstration of how time series econometrics can be used in economics and finance.

About the Authors

Helmut Lütkepohl is Professor of Economics at the European University Institute in Florence, Italy. He is on leave from Humboldt University Berlin where he has been Professor of Econometrics in the Faculty of Economics and Business Administration since 1992. He had previously been Professor of Statistics at the University of Kiel (1987–1992) and the University of Hamburg (1985-1987) and was Visiting Assistant Professor at the University of California, San Diego (1984-85). Professor Lütkepohl is Associate Editor of Econometric Theory, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviewa. He has published extensively in learned journals and books and is author, co-author and editor of a number of books in econometrics and time series analysis. Professor Lütkepohl is the author of Introduction to Multiple Time Series Analysis (1991) and a Handbook of Matrices (1996). His current teaching and research interests include methodological issues related to the study of nonstationary, integrated time series and the analysis of the transmission mechanism of monetary policy in the Euro area.

Markus Krätzig is a doctoral student in the Department of Economics at Humboldt University, Berlin.