Time Series Econometrics : Learning Through Replication

by John D. Levendis

Introduction -- ARMA(p,q) Processes -- Model Selection in ARMA(p,q) processes -- Stationarity and Invertibility -- Non-stationarity and ARIMA(p,d,q) processes -- Seasonal ARMA(p,q) processe -- Unit root tests -- Structural Breaks -- ARCH, GARCH and Time-varying Variance -- Vector Autoregressions I: Basics -- Vector Autoregressions II: Extensions -- Cointegration and VECMs -- Static Panel Data Models -- Dynamic Panel Data Models -- Conclusion.

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Year of publication:	2023 ; 2nd ed. 2023.
Authors:	Levendis, John D.
Publisher:	2023.: Cham : Springer International Publishing 2023.: Cham : Imprint: Springer
Subject:	econometrics \| Stata \| vector autoregression \| volatility \| time series analysis \| financial econometrics \| ARCH \| Autoregressive conditional heteroskedasticity \| GARCH \| ARMA \| Autoregressive moving average \| Time series \| Econometrics \| Panel data \| Forecasting \| Zeitreihenanalyse \| Time series analysis \| Modellierung \| Scientific modelling \| Statistischer Test \| Statistical test \| Theorie \| Theory

Extent:	1 Online-Ressource (XV, 488 p. 490 illus., 487 illus. in color.)
Series:	Springer Texts in Business and Economics
Type of publication:	Book / Working Paper
Language:	English
ISBN:	978-3-031-37310-7 ; 978-3-031-37309-1 ; 978-3-031-37311-4
Other identifiers:	10.1007/978-3-031-37310-7 [DOI]
Classification:	Methoden und Techniken der Volkswirtschaft
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014443465