This advanced text for a course on time series econometrics introduces modern time series analyses through the use of wide-ranging examples and applications. Providing a balance between macro and microeconomic applications, the book covers recent work in non-stationary time series that has only been published in journals, including unit-root test, ARCH models and co-integration/error-correction models. VAR analysis has been added as well as examples from different sources; the examples include Exchange Rate determination, the theory of purchasing power parity, and transnational terrorism.
- ISBN10 0471111635
- ISBN13 9780471111634
- Publish Date 9 January 1995
- Publish Status Active
- Publish Country US
- Publisher John Wiley and Sons Ltd
- Imprint John Wiley and Sons (WIE)
- Pages 304
- Language English