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Applied Time Series Modelling and Forecasting Paperback - 2003
by Sollis, Robert, Harris, Richard
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Details
- Title Applied Time Series Modelling and Forecasting
- Author Sollis, Robert, Harris, Richard
- Binding Paperback
- Edition 1st edition
- Condition Used - Good
- Pages 320
- Volumes 1
- Language ENG
- Publisher Wiley & Sons, Incorporated, John
- Publication date 2003-06-02
- Illustrated Yes
- Features Bibliography, Illustrated, Index
- Bookseller's Inventory # 19287981-6
- 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)
- Category Business / Economics / Finance
- Library of Congress subjects Time-series analysis
- Library of Congress Catalogue Number 2003050199
- Dewey Decimal Code 519.55
- Quantity available 1
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From the publisher
From the rear cover
Applied Time Series Modelling and Forecasting provides a relatively non-technical introduction to applied time series econometrics and forecasting involving non-stationary data. The emphasis is very much on the why and how and, as much as possible, the authors confine technical material to boxes or point to the relevant sources for more detailed information.
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
