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Time Series Econometrics
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Time Series Econometrics

liked it 3.00  ·  Rating details ·  1 rating  ·  1 review
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. ...more
Hardcover, 409 pages
Published June 21st 2016 by Springer
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May 31, 2020 rated it liked it
While it covers extensively the theories of time series in econometrics it is too narrow in their application. The book provides many equational set ups and ways onto which mathematical procedures can be applied but does not provide a step-by-step explanation as to how to do it as it implies a rather deep mathematical understanding to get it on ones own. Also the book does not provide any code or guidance as to how to reproduce the ideas in a statistical package. It is therefore not suitable as ...more
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