New Developments in Time Series Econometrics

Dufour, Jean-Marie; Raj, Baldev

This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.

Details

Published by: Physica

Publication Date: 2012-04-28

Format: Paperback

ISBN-13: 9783642487446

DOI: 10.1007/978-3-642-48742-2

Dimensions: 244cm x170cm

Pages: 250