Applied Time Series Econometrics [Paperback]

A demonstration of how time series econometrics can be used in economics and finance.Time series econometrics is used for example for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. For this purpose a model has to be constructed to describe the data generation process and its parameters have to be estimated. Modern tools for these tasks are provided in this volume and it is demonstrated by example how the tools can be put to work.Time series econometrics is used for example for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. For this purpose a model has to be constructed to describe the data generation process and its parameters have to be estimated. Modern tools for these tasks are provided in this volume and it is demonstrated by example how the tools can be put to work.Time series econometrics is used for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. A model has to be constructed, accordingly, to describe the data generation process and to estimate its parameters. Modern tools to accomplish these tasks are provided in this volume, which also demonstrates by example how the tools can be applied.Preface; Notation and abbreviations; List of contributors; Part I. Initial Tasks and Overview Helmut L?tkepohl: 1. Introduction; 2. Setting up an econometric project; 3. Getting data; 4. Data handling; 5. Outline of chapters; Part II. Univariate Time Series Analysis Helmut L?tkepohl: 6. Characteristics of time series; 7. Stationary and integrated stochastic processes; 8. Some popular time series models; 9. Parameter estimation; 10. Model specification; 11. Model checking; 12. Unit root tests; 13. Forecasting univariate time series; 14. Examples; 15. Where to go from here; Part III. Vector Autoregressive and Vector Error Correction Models Helmutl³Ò