Time Series and Dynamic Models
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Overview
Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas.
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Details
- ISBN-13: 9780521423083
- ISBN-10: 0521423082
- Publisher: Cambridge University Press
- Publish Date: January 1997
- Dimensions: 9.18 x 6.14 x 1.67 inches
- Shipping Weight: 2.1 pounds
- Page Count: 688
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