Pfaff, Bernhard.
Analysis of integrated and cointegrated time series with R / Bernhard Pfaff. - 2nd ed. - New York : Springer, c2008. - xx, 188 p. : ill. ; 24 cm. - Use R! .
Includes bibliographical references (p. [169]-175) and indexes.
Univariate Analysis of Stationary Time Series
Pages 3-21
Multivariate Analysis of Stationary Time Series
Pages 23-51
Non-stationary Time Series
Pages 53-71
Cointegration
Pages 73-87
Testing for the Order of Integration
Pages 91-105
Further Considerations
Pages 107-118
Single-Equation Methods
Pages 121-127
Multiple-Equation Methods
Pages 129-159
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. taken from Publisher's site.
9780387759661 (pbk.) : € 74.99 0387759662 (pbk.)
2008930126
GBA882639 bnb
014656329 Uk
Time-series analysis--Computer programs.
R (Computer program language)
330.0151955 , A4/2 20
Analysis of integrated and cointegrated time series with R / Bernhard Pfaff. - 2nd ed. - New York : Springer, c2008. - xx, 188 p. : ill. ; 24 cm. - Use R! .
Includes bibliographical references (p. [169]-175) and indexes.
Univariate Analysis of Stationary Time Series
Pages 3-21
Multivariate Analysis of Stationary Time Series
Pages 23-51
Non-stationary Time Series
Pages 53-71
Cointegration
Pages 73-87
Testing for the Order of Integration
Pages 91-105
Further Considerations
Pages 107-118
Single-Equation Methods
Pages 121-127
Multiple-Equation Methods
Pages 129-159
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. taken from Publisher's site.
9780387759661 (pbk.) : € 74.99 0387759662 (pbk.)
2008930126
GBA882639 bnb
014656329 Uk
Time-series analysis--Computer programs.
R (Computer program language)
330.0151955 , A4/2 20