Elements of Time Series Econometrics

An Applied Approach - Third Edition

Evzen Kocenda,Alexandr Cerný

• Éditeur: Karolinum Press, Charles University
• Année: 2017
• ISBN:
  9788024631981
• Sujet: Betriebswirtschaft
• Sous-sujet: Business allgemein

A time series is a sequence of numbers collected at regular intervals over a period of time. Designed with emphasis on the practical application of theoretical tools, Elements of Time Series Econometrics is an approachable guide for the econometric analysis of time series. The text is divided into five major sections. The first section, "The Nature of Time Series, " gives an introduction to time series analysis. The next section, "Difference Equations, " describes briefly the theory of difference equations, with an emphasis on results that are important for time series econometrics. The third section, "Univariate Time Series, " presents the methods commonly used in univariate time series analysis, the analysis of time series of a single variable. The fourth section, "Multiple Time Series, " deals with time series models of multiple interrelated variables. The final section, new to this edition, is "Panel Data and Unit Root Tests" and deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables.

Table des matières

• Cover
• CONTENTS
• INTRODUCTION
• 1. THE NATURE OF TIME SERIES
• 2. DIFFERENCE EQUATIONS
• 3. UNIVARIATE TIME SERIES
• 4. MULTIPLE TIME SERIES
• 5. PANEL DATA AND UNIT ROOT TESTS
• APPENDIX A – MONTE CARLO SIMULATIONS
• APPENDIX B – STATISTICAL TABLES
• REFERENCES
• INDEX