The econometric analysis of time series /

This new edition of A.C. Harvey's clearly written, upper-level text has been revised and several sections have been completely rewritten. There is new material on a number of topics, including unit roots, ARCH, and cointegration. The Econometric Analysis of Time Series focuses on the statistic...

• Main Author: Harvey, A. C. (Andrew C.)
• Format: Book
• Language: English
• Published: London : Allan, 1990
• Edition: 2nd ed.
• Subjects: ANALISIS DE SERIES TEMPORALES; MODELOS ECONOMETRICOS; MODELO DE REGRESION; MODELO DINAMICO

Table of Contents:

• Oreface
• 1. Introduction
• 2. Regression
• 3. The method of maxumum likelihood
• 4. Numerical optimisation
• 5. Test procedures and model selection
• 6. Regression models with serially correlated disturbances
• 7. Dynamic models I
• 8. Dynamic models II, stochastic difference equations
• 9. Simultaneous equation models
• Appendix on matrix algebra
• Answers to selected exercises
• References.