Time Series Models: 2nd Edition

Time Series Models: 2nd Edition Author: -
eBook Title: Time Series Models: 2nd Edition
ISBN10: 0262082241
ISBN13: 978-0262082242
Language: English
Publisher: The MIT Press; 2 edition (April 27, 1993)
Category: Science & Math
Subcategory: Mathematics
Size ePub vers.: 1258 kb
Size PDF vers.: 1522 kb
Other formats: cb7, odf, pdf, azw, ibooks, mobi
Rating: 4.2
Votes: 439
Pages: 308 pages

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Time Series Models: 2nd Edition
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Time Series Models is a companion volume to Andrew Harvey's highly successful Econometric Analysis of Time Series. It takes students to another level from the first book, focusing on the estimation, testing, and specification of both univariate and multivariate time series models. The emphasis is on understanding how time series are analyzed and models constructed. Familiarity with calculus, linear algebra, and statistical interference is assumed.

Although Time Series Models pairs well with Harvey's earlier text, it is self-contained. For the second edition, the author has added new sections on nonlinear models, unit roots, structural time series models, intervention analysis, and cointegration. He has addressed new developments, rearranged some material, and changed the emphasis in certain areas.

Andrew C. Harvey is Professor of Econometrics in the Department of Statistics and Mathematical Sciences at the London School of Economics and Political Science.

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