Applied Time Series Modelling and Forecasting Paperback - 2003
by Richard Harris; Robert Sollis; McHenry Harris
From the rear cover
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.
Applied Time Series Modelling and Forecasting has been written for students taking courses in financial economics and forecasting, applied time series, and econometrics at advanced undergraduate and postgraduate levels. It will also be useful for practitioners who wish to understand the application of time series modelling e.g. financial brokers.
Data sets and econometric code for implementing some of the more recent procedures covered in the book can be found on the following web site www.wiley.co.uk/harris
Details
- Title Applied Time Series Modelling and Forecasting
- Author Richard Harris; Robert Sollis; McHenry Harris
- Binding Paperback
- Edition 1st edition
- Pages 320
- Volumes 1
- Language ENG
- Publisher John Wiley & Sons
- Date 2003-06-02
- Illustrated Yes
- Features Bibliography, Illustrated, Index
- ISBN 9780470844434 / 0470844434
- Weight 1.17 lbs (0.53 kg)
- Dimensions 9.6 x 6.62 x 0.7 in (24.38 x 16.81 x 1.78 cm)
- Library of Congress subjects Time-series analysis
- Library of Congress Catalog Number 2003050199
- Dewey Decimal Code 519.55
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