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Serie: Advanced texts in econometrics
GebondenEngels9780199587148
16-12-2010
This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. Meer
PaperbackEngels9780199587155
16-12-2010
This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. Meer
GebondenEngels9780199549498
11-2-2010
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Meer
GebondenEngels9780198773122
6-1-2000
This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. Meer
PaperbackEngels9780198773139
6-1-2000
This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. Meer
PaperbackEngels9780198773184
20-8-1992
The realization among econometricians and applied economists that seasonal variation in many time series is often larger and less regular than has been supposed, has recently led to an increased interest in seriously modelling seasonality. Meer
PaperbackEngels9780198773207
7-10-1993
This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyse relationships between different variables, over time, such as the relationship between variables in a macroeconomy. Meer
PaperbackEngels9780198774044
16-2-1995
This book discusses the nature of exogeneity - a central concept in econometrics - and shows how to test for it through numerous substantive empirical examples. Meer
PaperbackEngels9780198774501
28-12-1995
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. Meer
PaperbackEngels9780198774549
15-8-1996
This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Meer
GebondenEngels9780199267682
7-4-2005
In many disciplines of science it is vital to know the effect of a 'treatment' on a response variable of interest; the effect being known as the 'treatment effect'. Meer
PaperbackEngels9780199267699
7-4-2005
In many disciplines of science it is vital to know the effect of a 'treatment' on a response variable of interest; the effect being known as the 'treatment effect'. Meer
PaperbackEngels9780198773535
25-1-1996
In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. Meer
PaperbackEngels9780198288107
27-5-1993
This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Meer
PaperbackEngels9780198287360
4-4-1991
This book helps economists with the difficult task of constructing econometric models and will be especially useful to those taking courses in applied econometrics who need to learn how to evaluate the validity of the theories and techniques they are taught. Meer
PaperbackEngels9780198283164
23-2-1995
This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework.
The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. Meer
PaperbackEngels9780198283393
31-10-1991
This is a survey of recent developments in the field of cointegration, which links long run components of a pair or of a group of series. It can then be used to discuss some types of equilibrium and to introduce them into time-series models in a fairly uncontroversial way. Meer
PaperbackEngels9780198773924
13-10-1994
Major developments in the analysis of non-stationary time series and co-integration are shown in this book. Papers include David Hendry's work on forecasting, Peter Phillip's work on Bayesian models, Svend Hylleberg's work on seasonality, and Adrian Pagan's work on real business cycle models. Meer