TY  - BOOK
AU  - Kirchgässner,Gebhard
AU  - Wolters,Jürgen
AU  - Hassler,Uwe
ED  - SpringerLink (Online service)
TI  - Introduction to Modern Time Series Analysis
T2  - Springer Texts in Business and Economics,
SN  - 9783642334368
AV  - HB139-141 
U1  - 330.015195 23
PY  - 2013///
CY  - Berlin, Heidelberg
PB  - Springer Berlin Heidelberg, Imprint: Springer
KW  - Game theory
KW  - Statistics
KW  - Econometrics
KW  - Macroeconomics
KW  - Economics
KW  - Statistics for Business/Economics/Mathematical Finance/Insurance
KW  - Game Theory, Economics, Social and Behav. Sciences
KW  - Macroeconomics/Monetary Economics//Financial Economics
N1  - Introduction and Basics -- Univariate Stationary Processes -- Granger Causality -- Vector Autoregressive Processes -- Nonstationary Processes -- Cointegration -- Nonstationary Panel Data -- Autoregressive Conditional Heteroscedasticity
N2  - This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.  
UR  - http://dx.doi.org/10.1007/978-3-642-33436-8
ER  -