Description
Time Series Econometrics, 1st ed. 2015
A Concise Introduction
Palgrave Texts in Econometrics Series
Author: Mills Terence C.
Language: EnglishSubjects for Time Series Econometrics:
Keywords
Time series; econometrics; economics; finance; cointegration; forecasting; GARCH; integration; modeling; regression; time series; unit roots; volatility
156 p. · 14x21.6 cm · Hardback
Description
/li>Contents
/li>Biography
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2. Modelling Stationary Time Series: the ARMA Approach
3. Non-stationary Time Series: Differencing and ARIMA Modelling
4. Unit Roots and Related Topics
5. Modelling Volatility using GARCH Processes
6. Forecasting with Univariate Models
7. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality
8. Cointegration in Single Equations
9. Cointegration in Systems of Equations
10. Extensions and Developments
Index
Terence C. Mills is Professor of Applied Statistics and Econometrics at Loughborough University. He has published over 200 articles and books on topics ranging from economic history and the history of econometric thought, through economics, econometrics and finance, to health and well-being, climatology and meteorology.