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The econometric analysis of time series. 2nd. ed.

Опубликовано на портале: 24-10-2003
Cambridge: MIT Press, 1990, cерия "London School of Economics Handbooks in Economics", 387 с.
This new edition of A.C. Harvey's clearly written, upper-level text has been revised and several sections have been completely rewritten. There is new material on a number of topics, including unit roots, ARCH, and cointegration.

"The Econometric Analysis of Time Series" focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs. It explores the way in which recent advances in time series analysis have affected the development of a theory of dynamic econometrics, sets out an integrated approach to the problems of estimation and testing based on the method of maximum likelihood, and presents a coherent strategy for model selection.

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См. также:
Christian Gourieroux, Alain Monfort, Alain Trognon, Eric Renault
Journal of Econometrics. 1987.  Vol. 34. No. 1-2. P. 5-32. 
John Aitchison, Samuel D. Silvey
Biometrika. 1957.  Vol. 44. No. 1/2. P. 131-140. 
Ray C. Fair
Journal of Political Economy. 1978.  Vol. 86. P. 45-61. 
Jerry Hausman
Econometrica. 1978.  Vol. 46. No. 6. P. 1251-1272. 
Donald Wilfrid Kao Andrews
Journal of Econometrics. 1988.  Vol. 37. No. 1. P. 135-157.