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Applied Time Series Modelling and Forecasting

Richard Harris | Robert Sollis
€40.72
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A01=Richard Harris
A01=Robert Sollis
analysis
Author_Richard Harris
Author_Robert Sollis
authors confine
book
Category=KCH
Category=KCJ
Category=KFF
cointegration
covered
earlier
econometric
econometrics
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eq_business-finance-law
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eq_non-fiction
harris
information
introduction
modelling
nonstationary
nontechnical
possible
relevant
richard
sources
technical material
time series
title

Product details

  • ISBN 9780470844434
  • Weight: 539g
  • Dimensions: 171 x 242mm
  • Publication Date: 17 Apr 2003
  • Publisher: John Wiley & Sons Inc
  • Publication City/Country: US
  • Product Form: Paperback
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Description
Applied Time Series Modelling and Forecasting provides a relatively non-technical introduction to applied time series econometrics and forecasting involving non-stationary data.  The emphasis is very much on the why and how and, as much as possible, the authors confine technical material to boxes or point to the relevant sources for more detailed information.

This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris.  As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series.  Harris and Sollis have also incorporated as many of the latest techniques in the area as possible including: testing for periodic integration and cointegration; GLS detrending when testing for unit roots; structural breaks and season unit root testing; testing for cointegration with a structural break; asymmetric tests for cointegration; testing for super-exogeniety; seasonal cointegration in multivariate models; and approaches to structural macroeconomic modelling.  In addition, the discussion of certain topics, such as testing for unique vectors, has been simplified.
About Richard Harris | Robert Sollis
Richard Harris is a Professor in the Department of Economics and Finance at the University of Durham. His areas of research are in the field of applied econometrics and he has published widely in numerous journals.

Robert Sollis is a Lecturer in the Department of Economics and Finance at the University of Durham. His research interests are in time series econometrics with particular focus on nonlinear models for macroeconomic and financial time series.

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