Klaus Neusser

eBook, PDF

Time Series Econometrics (eBook, PDF)

Beschreibung

This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and its relation to the basic properties of covariance funtions, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting as well as regressions models and presenting standard statistical tests. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text is devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. The exposition finally connects to recent developments in the field. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.

Technische Details

• Geräte: PC
• ohne Kopierschutz
• Größe: 11.54MB

Autor

Klaus Neusser is Professor Emeritus of Macroeconomics and Econometrics at the University of Bern. He studied economics and mathematics at the Vienna University of Technology, obtained his habilitation at the University of Vienna, and spent further study periods at the International Institute for Applied Systems Analysis (IIASA), the University of Chicago, Northwestern University as visiting assistant professor, and Stanford University (Hoover Institution). Recently, he was director of the Institute of Advanced Studies (IHS) in Vienna.

Produktdetails

• Verlag: Springer International Publishing
• Seitenzahl: 429
• Erscheinungstermin: 20. Mai 2025
• Englisch
• ISBN-13: 9783031888380
• Artikelnr.: 74262918

Rezensionen

"Neusser offers an important addition to the market for books on time series econometrics, and definitely fills a gap within the market and complements existing offerings. This is an excellent effort, and I have enjoyed the book." (Benjamin Wong, Economic Record, Vol. 95 (310), September, 2019)

"The present monograph is a practical and comprehensive introduction to an area that lies at the core of econometrics. ... It requires minimal prerequisites, and is almost surely accessible to senior undergraduate or beginning graduate students, and certainly to independent researchers ... . I find this book to be a valuable addition to the monographic literature on time series." (Giuseppe Castellacci, Mathematical Reviews, October, 2017)