TIME SERIES, vol Two volume set

Edited by Andrew Harvey

in Books from Edward Elgar Publishing

Abstract: 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.

Keywords: Economics and Finance (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 1994
ISBN: 9781852786625
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Citations: View citations in EconPapers (61)

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