Applied time series econometrics /

• Other Authors: Krätzig, Markus (ed.), Lütkepohl, Helmut, 1951- (ed.)
• Format: Book
• Language: English
• Published: Cambridge : Cambridge University Press, 2004
• Subjects: SERIES TEMPORALES; ANALISIS DE SERIES TEMPORALES; ECONOMETRIA APLICADA

Table of Contents:

• 1. Initial tasks and overview / Helmut Lütkepohl
• 2. Univariate time series analysis / Helmut Lütkepohl
• 3. Vector autoregressive and vector error correction models / Helmut Lütkepohl
• 4. Structural vector autoregressive modeling and impulse responses / Jr̲g Breitung, Ralf Brüggemann, and Helmut Lütkepohl
• 5. Conditional heteroskedasticity / Helmut Herwartz
• 6. Smooth transition regression modeling / Timo Ters̃virta
• 7. Nonparametric time series modeling / Rolf Tschernig
• 8. The software JMulti / markus Krätzig.