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Themes in Modern Econometrics: Time Series and Dynamic Models (Hardback)
  • Themes in Modern Econometrics: Time Series and Dynamic Models (Hardback)
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Themes in Modern Econometrics: Time Series and Dynamic Models (Hardback)

(author), (author), (series editor), (series editor), (series editor), (translator)
£129.00
Hardback 688 Pages / Published: 13/01/1996
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In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.

Publisher: Cambridge University Press
ISBN: 9780521411462
Number of pages: 688
Weight: 1170 g
Dimensions: 229 x 152 x 41 mm


MEDIA REVIEWS
'This is a well done introduction to both classical and modern time series models and techniques. Throughout, the authors have managed to keep a sound balance between mathematical rigor (which is always present, but never emphasized or celebrated for its own sake) and user-friendliness of presentation. I found this mixture very easy to digest. Another strong point of the book is its technical competence. In almost every line, one feels that two of the most brilliant present-day theoretical econometricians are at work. Review in Statistical Papers
"If I wanted to give a good overview of the field to students who already had a course on ARIMA models and some state-space theory, then I would use Time Series and Dynamic Models." Kent D. Wall, JASA
"This book is well organized and provides many insights into time series and dynamic models....this book should be a useful resource not only for the econometrician but also for the person with no background in econometrics who is interested in the general theory of time series." Errol Caby, Technometrics
"In my opinion, it is the best general text on time series analysis available. It is a masterpiece. Organization is impeccable. Results flow seamlessly from one to the next. The writing, for the most part, is very accessible. It nicely balances mathematical formality with a hands-on, tone that tells you what is "really going on." riskbook.com

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