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Introduction to Modern Time Series Analysis. 2nd ed. 現代時系列分析入門 第2版
・ISBN 978-3-642-33435-1 hard EUR 89.99
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・ISBN 978-3-642-44029-8 paper EUR 64.99
￥17,371.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
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| 著者・編者 | Kirchgässner, Gebhard / Wolters, J. / Hassler, U., |
|---|---|
| シリーズ | Springer Texts in Business and Economics |
| 出版社 | (Springer, GW) |
| 出版年月 | 2013 |
| ページ数 | xii, 320 S. |
| 言語 | ENG |
| ニュース番号 | ＜600-343＞ |
解説
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.