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TIME SERIES
The last 20 years have witnessed a considerable increase in the use of time series techniques in econometrics. The articles in this important set have been chosen to illustrate the main themes in time series work as it relates to econometrics. The editor has written a new concise introduction to accompany the articles. Sections covered include: Ad Hoc Forecasting Procedures, ARIMA Modelling, Structural Time Series Models, Unit Roots, Detrending and Non-stationarity, Seasonality, Seasonal Adjustment and Calendar Effects, Dynamic Regression and Intervention Analysis, Multivariate Models, Causality, Exogeneity and Expectations, State Space Models and the Kalman Filter, Non-Linear and Non-Gaussian Models.
More Information
Critical Acclaim
Contributors
More Information
The last 20 years have witnessed a considerable increase in the use of time series techniques in econometrics. The articles in this important set have been chosen to illustrate the main themes in time series work as it relates to econometrics. The editor has written a new concise introduction to accompany the articles. Sections covered include: Ad Hoc Forecasting Procedures, ARIMA Modelling, Structural Time Series Models, Unit Roots, Detrending and Non-stationarity, Seasonality, Seasonal Adjustment and Calendar Effects, Dynamic Regression and Intervention Analysis, Multivariate Models, Causality, Exogeneity and Expectations, State Space Models and the Kalman Filter, Non-Linear and Non-Gaussian Models.
Critical Acclaim
‘The list of contributors is impressive . . . The two volumes are recommended and will provide a useful addition to private bookshelves and libraries.’
– K. Hadri, The Economic Journal
‘. . . a convenient and useful resource for the researcher in econometric time series modelling or libraries.’
– Journal of the American Statistical Association
– K. Hadri, The Economic Journal
‘. . . a convenient and useful resource for the researcher in econometric time series modelling or libraries.’
– Journal of the American Statistical Association
Contributors
50 articles, dating from 1960 to 1991
Contributors include: G.E.P. Box, D.A. Dickey, J.F. Muth, C.R. Nelson, P. Newbold, J.H. Stock, G.C. Tiao, A. Zellner
Contributors include: G.E.P. Box, D.A. Dickey, J.F. Muth, C.R. Nelson, P. Newbold, J.H. Stock, G.C. Tiao, A. Zellner