Time Series and Dynamic Models

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.

Author: Christian Gourieroux
Publisher: Cambridge University Press
Published: 01/13/1997
Pages: 688
Binding Type: Paperback
Weight: 2.10lbs
Size: 9.18h x 6.14w x 1.67d
ISBN: 9780521423083

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