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Applied Time Series Econometrics by Helmut Lutkepohl, Markus Kratzig

Applied Time Series Econometrics

by Helmut Lutkepohl , Markus Kratzig
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Book cover type: Hardcover
  • ISBN13: 9780521839198
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Cambridge University Press
  • Publisher Imprint: Cambridge University Press
  • Publication Date:
  • Pages: 352
  • Original Price: USD 155.0
  • Language: English
  • Edition: N/A
  • Item Weight: 590 grams
  • BISAC Subject(s): Econometrics

Time series econometrics is used for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. A model has to be constructed, accordingly, to describe the data generation process and to estimate its parameters. Modern tools to accomplish these tasks are provided in this volume, which also demonstrates by example how the tools can be applied.

Krätzig, Markus: - Markus Krätzig is a doctoral student in the Department of Economics at Humboldt University, Berlin.

Lütkepohl, Helmut: - Helmut Lütkepohl is Professor of Economics at the European University Institute in Florence, Italy. He is on leave from Humboldt University Berlin where he has been Professor of Econometrics in the Faculty of Economics and Business Administration since 1992. He had previously been Professor of Statistics at the University of Kiel (1987-1992) and the University of Hamburg (1985-1987) and was Visiting Assistant Professor at the University of California, San Diego (1984-85). Professor Lütkepohl is Associate Editor of Econometric Theory, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviewa. He has published extensively in learned journals and books and is author, co-author and editor of a number of books in econometrics and time series analysis. Professor Lütkepohl is the author of Introduction to Multiple Time Series Analysis (1991) and a Handbook of Matrices (1996). His current teaching and research interests include methodological issues related to the study of nonstationary, integrated time series and the analysis of the transmission mechanism of monetary policy in the Euro area.

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