000			02780nmm a22003377a 4500
003			SPU
005			20210629190839.0
008			210516b2016 sz |||||o|||| 00| 0 eng d
020			_a9783319328621 (E-book)
040			_aSPU
049			_amain
050		4	_aHB 141 _bN48T 2016
100	1		_aNeusser, Klaus,
245	1	0	_aTime Series Econometrics / _cKlaus Neusser _h[electronic resource]
260			_aCham, Switzerland : _bSpringer, _c2016
300			_a1 online resource (xxiv, 409 pages) : _billustrations (chiefly color).
449			_a110240
504			_aIncludes bibliographical references (pages 391-402) and index
505			_aARMA Models -- Multivariate Time Series Analysis -- Definitions and Stationarity -- Estimation of VAR Models -- Interpretation of VAR Models -- Cointegration == Generalizations of Linear Models
506			_aAvailable to OhioLINK libraries
520			_a"This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students."--Publisher's description
521			_aAdvanced undergraduate and beginning graduate students
650		0	_aECONOMETRIC MODELS _952509
650		0	_aTIME-SERIES ANALYSIS _9234491
655		4	_aElectronic books.
850			_aSPU
856			_uhttps://drive.google.com/file/d/1cYNwbrFA85H0A8eoWQWBPpF7VlWaHh-o/view?usp=sharing _yView Full-text
910			_aLibrary _bSpringer _c160521
942			_2lcc _cEBK
998			_ajirawan 0521
999			_c201741