This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG ISBN: 9783642487446 Number of pages: 250 Weight: 454 g Dimensions: 244 x 170 x 14 mm Edition: Softcover reprint of the original 1st ed. 199
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