Time Series (The International Library of Critical Writings in Econometrics Series 5)

Time Series (The International Library of Critical Writings in Econometrics Series 5)

By: Andrew Harvey (editor)Hardback

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The last 20 years have witnessed a considerable increase in the use of time series techniques in econometrics. The articles in this important set have been chosen to illustrate the main themes in time series work as it relates to econometrics. The editor has written a new concise introduction to accompany the articles. Sections covered include: Ad Hoc Forecasting Procedures, ARIMA Modelling, Structural Time Series Models, Unit Roots, Detrending and Non-stationarity, Seasonality, Seasonal Adjustment and Calendar Effects, Dynamic Regression and Intervention Analysis, Multivariate Models, Causality, Exogeneity and Expectations, State Space Models and the Kalman Filter, Non-Linear and Non-Gaussian Models.

About Author

Edited by Andrew Harvey, Corpus Christi College, University of Cambridge, UK


Ad hoc forecasting procedures; Arima modelling; structural time series models: unit roots, detrending and non-stationarity; seasonality, seasonal adjustment and calendar effects; dynamic regression and intervention analysis; multivariate models; causality, exogeneity and expectations; state space models and the Kalman filter; non-linear and non-Gaussian models.

Product Details

  • ISBN13: 9781852786625
  • Format: Hardback
  • Number Of Pages: 928
  • ID: 9781852786625
  • ISBN10: 1852786620

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