Applied Time Series Modelling and Forecasting

by Richard Harris

Description

Applied Time Series Modelling and Forecasting provides arelatively non-technical introduction to applied time serieseconometrics and forecasting involving non-stationary data. The emphasis is very much on the why and how and, as much aspossible, the authors confine technical material to boxes or pointto the relevant sources for more detailed information. This book is based on an earlier title Using CointegrationAnalysis in Econometric Modelling by Richard Harris. Aswell as updating show more material covered in the earlier book, there aretwo major additions involving panel tests for unit roots andcointegration and forecasting of financial time series. Harris and Sollis have also incorporated as many of the latesttechniques in the area as possible including: testing for periodicintegration and cointegration; GLS detrending when testing for unitroots; structural breaks and season unit root testing; testing forcointegration with a structural break; asymmetric tests forcointegration; testing for super-exogeniety; seasonal cointegrationin multivariate models; and approaches to structural macroeconomicmodelling. In addition, the discussion of certain topics,such as testing for unique vectors, has been simplified. show less