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Book synopsis

The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but also enables him to conduct the various unit root tests and co-integration methods on his own by utilising the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks and inference in co-integrated vector autoregressive models as well. The book is enriched by numerous programming examples to artificial and real data so that it is suitable as a supplementary text for computer lab classes.§§

Book details

Book category Books in English Economics, finance, business & management Economics Econometrics

• Full title: Analysis of Integrated and Cointegrated Time Series with R
• Author: Bernhard Pfaff
• Language: English
• Binding: Paperback
• Number of pages: 190
• EAN: 9780387759661
• ISBN: 0387759662
• ID: 01382861
• Publisher: Springer-Verlag New York Inc.
• Weight: 354 g
• Dimensions: 235 × 157 × 11 mm
• Date of publishing: 11. August 2008

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