This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized.
A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
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This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized.
A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Imprint | Clarendon Press |
Country of origin | United Kingdom |
Series | Advanced Texts in Econometrics |
Release date | May 1993 |
Availability | Expected to ship within 12 - 17 working days |
First published | May 1993 |
Authors | Anindya Banerjee, Juan J. Dolado, John W. Galbraith, David Hendry |
Dimensions | 234 x 155 x 19mm (L x W x T) |
Format | Paperback |
Pages | 342 |
Edition | New |
ISBN-13 | 978-0-19-828810-7 |
Barcode | 9780198288107 |
Categories | |
LSN | 0-19-828810-7 |