Applied Time Series Modelling and Forecasting (Paperback)
Language: English
Published by John Wiley & Sons Inc, New York, 2003
- First Edition
- Softcover
- New
Seller: CitiRetail, Stevenage, United KingdomCitiRetail
AbeBooks seller since June 29, 2022
Condition: New
£ 65.49
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Paperback. Applied Time Series Modelling and Forecasting provides a relatively non-technical introduction to applied time series econometrics and forecasting involving non-stationary data. The emphasis is very much on the why and how and, as much as possible, the authors confine technical material to boxes or point to the relevant sources for more detailed information. This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris. As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series. Harris and Sollis have also incorporated as many of the latest techniques in the area as possible including: testing for periodic integration and cointegration; GLS detrending when testing for unit roots; structural breaks and season unit root testing; testing for cointegration with a structural break; asymmetric tests for cointegration; testing for super-exogeniety; seasonal cointegration in multivariate models; and approaches to structural macroeconomic modelling. In addition, the discussion of certain topics, such as testing for unique vectors, has been simplified. The text has been thoroughly updated to incorporate recent developments and includes three major new chapters on: time series modelling in the financial economics area, the Harvey approach to structural time series modelling and cointegration, and panel data models and non--stationary time series. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…
Seller Inventory # 9780470844434
- Title
- Applied Time Series Modelling and Forecasting (Paperback)
- Author
- Richard Harris
- Publisher
- John Wiley & Sons Inc, New York
- Publication year
- 2003
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 0470844434
- ISBN 13
- 9780470844434
- Edition
- 1st Edition
This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris. As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series. Harris and Sollis have also incorporated as many of the latest techniques in the area as possible including: testing for periodic integration and cointegration; GLS detrending when testing for unit roots; structural breaks and season unit root testing; testing for cointegration with a structural break; asymmetric tests for cointegration; testing for super-exogeniety; seasonal cointegration in multivariate models; and approaches to structural macroeconomic modelling. In addition, the discussion of certain topics, such as testing for unique vectors, has been simplified.
"Synopsis" may belong to another edition of this title.
About the Author
Robert Sollis is a Lecturer in the Department of Economics and Finance at the University of Durham. His research interests are in time series econometrics with particular focus on nonlinear models for macroeconomic and financial time series.
"About the title" may belong to another edition of this title.
CitiRetail
Stevenage, United Kingdom
AbeBooks seller since June 29, 2022
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