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Applied Time Econometrics: Themes in Modern Econometrics

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Applied Time Econometrics (Themes in Modern Econometrics)

Applied Time Series Econometrics (Themes in Modern Econometrics)

by David Coulthard

4.8 out of 5

Language	:	English
File size	:	16101 KB
Text-to-Speech	:	Enabled
Screen Reader	:	Supported
Enhanced typesetting	:	Enabled
Print length	:	352 pages
Lending	:	Enabled

A Comprehensive Textbook for Time Series Analysis

Applied Time Econometrics: Themes in Modern Econometrics is a comprehensive textbook that provides a rigorous and up-to-date treatment of time series econometrics. The book covers a wide range of topics, including unit root testing, cointegration, time-varying volatility, and forecasting. It is written in a clear and concise style, and includes numerous examples and exercises to help students learn the material.

The book is divided into four parts. Part I introduces the basic concepts of time series econometrics. Part II covers unit root testing and cointegration. Part III discusses time-varying volatility. Part IV covers forecasting.

Applied Time Econometrics: Themes in Modern Econometrics is an essential textbook for students and researchers in economics, finance, and other fields that use time series data. It is also a valuable resource for practitioners who need to understand the latest developments in time series econometrics.

Key Features of the Book

Provides a comprehensive treatment of time series econometrics, from the basics to the most advanced topics
Written in a clear and concise style, with numerous examples and exercises to help students learn the material
Covers a wide range of topics, including unit root testing, cointegration, time-varying volatility, and forecasting
Includes an extensive appendix on mathematical statistics, which provides a review of the most important concepts used in time series econometrics
Written by two leading experts in the field of time series econometrics

Stationarity and Unit Roots
Cointegration
Time-Varying Volatility
Forecasting
Appendix: Mathematical Statistics

About the Authors

Terence C. Mills is a Professor of Economics at the University of Oxford and a Fellow of Nuffield College. He is the author of several books and articles on time series econometrics.

Hashem Pesaran is a Professor of Economics at the University of Cambridge and a Fellow of Trinity College. He is the author of several books and articles on time series econometrics.