Analysis of Integrated and Cointegrated Time Series with R
The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and co-integration methods on his own by utilizing the fr...
Bewaard in:
| Hoofdauteur: | |
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| Formaat: | Livre numérique |
| Taal: | Anglais |
| Gepubliceerd in: |
New York, NY :
Springer New York
2008.
Cham : Springer Nature |
| Reeks: | Use R!
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| Onderwerpen: | |
| Online toegang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Opmerking: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Variante du titre: | R-code for examples in the book |
| Edition sous un autre format: | • Analysis of integrated and cointegrated time series with R, Bernhard Pfaff, Second edition, 2008, [New York], Springer, 1 vol. (XX-188 p.), Use R!, 978-0-387-75966-1 • Analysis of Integrated and Cointegrated Time Series with R, Texte imprimé, 9780387567570 |
| Samenvatting: | The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and co-integration methods on his own by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and multivariate time series models. The book is enriched by numerous programming examples to artificial and real data so that it is ideally suited as an accompanying text book to computer lab classes. The second edition adds a discussion of vector auto-regressive, structural vector auto-regressive, and structural vector error-correction models. To analyze the interactions between the investigated variables, further impulse response function and forecast error variance decompositions are introduced as well as forecasting. The author explains how these model types relate to each other. |
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| Beschrijving item: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9780387759678 |
| ISSN: | 2197-5744 |
| Toegang: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. chttps://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |