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Book Synopsis

Introduction.- ARMA models.- Forecasting stationary processes.- Estimation of Mean and Autocovariance Function.- Estimation of ARMA Models.- Spectral Analysis and Linear Filters.- Integrated Processes.- Models of Volatility.- Multivariate Time series.- Estimation of Covariance Function.- VARMA Processes.- Estimation of VAR Models.- Forecasting with VAR Models.- Interpretation of VAR Models.- Cointegration.- The Kalman Filter.- Appendices.

Time Series Econometrics

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    A Hardback by Klaus Neusser

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      Publisher: Springer
      Publication Date: Publication Date: 6/25/2025
      ISBN13: 9783031888373, 978-3031888373
      ISBN10: 3031888375
      Also in:
      Econometrics and economic statistics

      Description

      Book Synopsis

      Introduction.- ARMA models.- Forecasting stationary processes.- Estimation of Mean and Autocovariance Function.- Estimation of ARMA Models.- Spectral Analysis and Linear Filters.- Integrated Processes.- Models of Volatility.- Multivariate Time series.- Estimation of Covariance Function.- VARMA Processes.- Estimation of VAR Models.- Forecasting with VAR Models.- Interpretation of VAR Models.- Cointegration.- The Kalman Filter.- Appendices.

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