Time Series Econometrics

Klaus Neusser ()
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Klaus Neusser: University of Bern

in Springer Texts in Business and Economics from Springer

Date: 2025
Edition: Second Edition 2025
ISBN: 978-3-031-88838-0
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Chapters in this book:

Ch 1 Introduction and Basic Theoretical Concepts

Klaus Neusser

Ch 2 Autoregressive Moving-Average Processes

Klaus Neusser

Ch 3 Forecasting Stationary Processes

Klaus Neusser

Ch 4 Estimation of the Expected Value and the Autocorrelation Function of a Stationary Stochastic Processes

Klaus Neusser

Ch 5 Modeling Stationary ARMA Processes

Klaus Neusser

Ch 6 Spectral Analysis and Linear Filters

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Ch 7 Integrated Processes

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Ch 8 Models of Volatility

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Ch 9 Synopsis on Empirical Macroeconomic Research

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Ch 10 Definitions and Stationarity

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Ch 11 Estimation of Mean and Covariance Function

Klaus Neusser

Ch 12 Vector Autoregressive Moving-Average Processes

Klaus Neusser

Ch 13 Estimation of Vector Autoregressive Models

Klaus Neusser

Ch 14 Forecasting with VAR Models

Klaus Neusser

Ch 15 Structural VAR (SVAR) Models

Klaus Neusser

Ch 16 Cointegration

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Ch 17 State-Space Models and the Kalman Filter

Klaus Neusser

Ch 18 Advanced Time Series Models

Klaus Neusser

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DOI: 10.1007/978-3-031-88838-0

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