The Cointegrated VAR Model

Katarina Juselius

• Paperback | Engels | Advanced Texts in Econometrics
• This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properti... Lees meer

Bayesian Inference in Dynamic Econometric Models (Advanced Texts in Econometrics)

Luc Bauwens, Michel Lubrano, Jean Francois Richard

• Hardcover | Engels | Advanced Texts in Econometrics
• This book offers an up-to-date coverage of the basic principles and tools of Bayesian inference in econometrics, with an emphasis on dynamic models. I... Lees meer

Periodic Time Series Models

Philip Hans Franses, Richard Paap

• Hardcover | Engels | Advanced Texts in Econometrics
• An insightful and up-to-date study of the use of periodic models in the description and forecasting of economic data. Incorporating recent development... Lees meer

The Cointegrated VAR Model

Katarina (Professor at the Institute of Economics, University of

• Hardcover | Advanced Texts in Econometrics
• Provides a comprehensive introduction to VAR modelling and how it can be applied. This book focuses on the properties of the cointegrated VAR model an... Lees meer

Modelling Nonlinear Economic Relationships

Clive W J Granger, Timo Teräsvirta

• Paperback | Engels | Advanced Texts in Econometrics
• This volume in the series Advanced Texts in Econometrics explains recent theoretical developments in the econometric modelling of relationships betwee... Lees meer

Time Series with Long Memory

• Paperback | Engels | Advanced Texts in Econometrics
• Time Series with Long Memory comprises a collection on time series analysis. Long memory time series are characterized by a strong dependence between ... Lees meer

Time-Series-Based Econometrics 'Unit Roots and Cointegration'

Michio Hatanaka

• Paperback | Engels | Advanced Texts in Econometrics
• In the last decade, there have been rapid and enormous developments in the field of unit roots and cointegration, but this progress has taken divergen... Lees meer

Stochastic Volatility

• Paperback | Engels | Advanced Texts in Econometrics
• Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover ... Lees meer

Generalized Method of Moments

Alastair R Hall

• Hardcover | Engels | Advanced Texts in Econometrics
• This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practition... Lees meer

Panel Data Econometrics

Manuel Arellano

• Paperback | Engels | Advanced Texts in Econometrics
• Panel data econometrics uses both time series and cross-sectional data sets that have repeated observations over time for the same individuals (indivi... Lees meer

Workbook on Cointegration

Peter Reinhard Hansen, Søren Johansen

• Hardcover | Engels | Advanced Texts in Econometrics
• This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together wi... Lees meer

Modelling Nonlinear Economic Time Series

Timo Terasvirta, Dag Tjostheim, Clive W J Granger

• Paperback | Engels | Advanced Texts in Econometrics
• A comprehensive assessment of many recent developments in the modelling of time series, this text introduces various nonlinear models and discusses th... Lees meer

The Econometrics of Macroeconomic Modelling

Gunnar Boardsen, Øyvind Eitrheim, Eilev S Jansen, Ragnar Nymoen

• Paperback | Engels | Advanced Texts in Econometrics
• This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changin... Lees meer

Panel Data Econometrics

Manuel Arellano

• Hardcover | Engels | Advanced Texts in Econometrics
• Panel data econometrics uses both time series and cross-sectional data sets that have repeated observations over time for the same individuals (indivi... Lees meer

Generalized Method of Moments

Alastair R Hall

• Hardcover | Engels | Advanced Texts in Econometrics
• This book has become one of the main statistical tools for the analysis of economic and financial data. Designed for both theoreticians and practition... Lees meer

Testing Exogeneity

• Paperback | Engels | Advanced Texts in Econometrics
• This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substant... Lees meer

Modelling Economic Series

• Paperback | Engels | Advanced Texts in Econometrics
• Particularly useful for graduate students, this book offers instruction in model-building from such authorities as E. Leamer, A. Pagan, P. A. Volker, ... Lees meer

Micro-Econometrics for Policy, Program, and Treatment Effects

Myoung-Jae Lee

• Paperback | Engels | Advanced Texts in Econometrics
• This is one of the first books to provide a textbook exposition of the literature on how to measure accurately the 'effects' of a 'treatment, ' such a... Lees meer

Nonstationary Time Series Analysis and Cointegration

• Paperback | Engels | Advanced Texts in Econometrics
• This collection of papers explores the major developments in the analysis of non-stationary time series and cointegration. It provides comprehensive c... Lees meer

Volatility and Time Series Econometrics

• Hardcover | Engels | Advanced Texts in Econometrics
• Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contribu... Lees meer

Modelling Seasonality 'Advance Texts in Econometrics '

• Paperback | Engels | Advanced Texts in Econometrics
• This volume brings together leading papers on the existing standard economic theory of seasonality as well as papers which apply newer statistical too... Lees meer

Readings in Unobserved Components Models

• Paperback | Engels | Advanced Texts in Econometrics
• This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the metho... Lees meer

Workbook on Cointegration 'Advanceed Texts in Economics '

Peter Reinhard Hansen, Søren Johansen

• Paperback | Engels | Advanced Texts in Econometrics
• This workbook consists of exercises taken from Likelihood-Based Inferences in Cointegrated Vector Autoregressive Models by Soren Johansen, together wi... Lees meer

The Econometrics of Macroeconomic Modelling

Gunnar Boardsen, Øyvind Eitrheim, Eilev S Jansen, Ragnar Nymoen

• Hardcover | Engels | Advanced Texts in Econometrics
• This book describes how and why the discipline of macroeconometric modelling continues to play a role for economic policymaking by adapting to changin... Lees meer