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Time Series and Dynamic Models by Christian Gourieroux, Alain Monfort, Giampaolo Gallo

Time Series and Dynamic Models

by Christian Gourieroux , Alain Monfort , Giampaolo Gallo
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Book cover type: Paperback
  • ISBN13: 9780521423083
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Cambridge University Press
  • Publisher Imprint: Cambridge University Press
  • Publication Date:
  • Pages: 688
  • Original Price: GBP 50.0
  • Language: English
  • Edition: N/A
  • Item Weight: 953 grams
  • BISAC Subject(s): Econometrics

Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas.

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