Time Series Techniques for Economists

Description

The application of time series techniques in economics has become increasingly important, both for forecasting purposes and in the empirical analysis of time series in general. This book brings together recent research at the frontiers of the subject and analyzes the areas of time series analysis of most importance to applied economics. The author discusses three basic areas of time series analysis: univariate models, multivariate models, and nonlinear models. Particular emphasis is placed on applications of the theory to important areas of applied economics and on the computer software and programs needed to implement the techniques. It is an up-to-date text, extending the basic techniques of analysis to cover the development of methods that can be used to analyze a wide range of economic problems.

'... the level of exposition is appropriate for a course required of all graduate students in economics ... this book is admirable. It should be widely read.' Journal of Economic Literature