Analysis of Integrated and Co-integrated Time Series with R
(Sprache: Englisch)
The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but also enables him to conduct the various unit root tests and...
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The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but also enables him to conduct the various unit root tests and co-integration methods on his own by utilising the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks and inference in co-integrated vector autoregressive models as well. The book is enriched by numerous programming examples to artificial and real data so that it is suitable as a supplementary text for computer lab classes.
The analysis of integrated and cointegrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces readers to this topic but also enables them to conduct the various unit root tests and cointegration methods by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and inference in co-integrated vector autoregressive models. The book is enriched by numerous programming examples to artificial and real data so that it is suitable as a supplementary text for computer lab classes.
Bernhard Pfaff studied economics at the universities of Göttingen, Germany; Davis, California; and Freiburg im Breisgau, Germany. He obtained a diploma and a doctorate degree at the economics department of the last one where he was employed as a research and teaching assistant. He has worked for many years as economist and quantitative analyst in research departments of financial institutions. Bernhard Pfaff is the author and maintainer of the contributed R package "urca".
From the reviews:
"All in all, it is a book by which the usage of R for analyzing time series with the mentioned tools will surely be inhanced. It is hoped that the series expands further with similar well done texts." - Allgemeines Statistisches Archive, vol. 90, No. 3, pgs 486-487
Bernhard Pfaff studied economics at the universities of Göttingen, Germany; Davis, California; and Freiburg im Breisgau, Germany. He obtained a diploma and a doctorate degree at the economics department of the last one where he was employed as a research and teaching assistant. He has worked for many years as economist and quantitative analyst in research departments of financial institutions. Bernhard Pfaff is the author and maintainer of the contributed R package "urca".
From the reviews:
"All in all, it is a book by which the usage of R for analyzing time series with the mentioned tools will surely be inhanced. It is hoped that the series expands further with similar well done texts." - Allgemeines Statistisches Archive, vol. 90, No. 3, pgs 486-487
Inhaltsverzeichnis zu „Analysis of Integrated and Co-integrated Time Series with R “
From the Contents:Stationary ARMA processes
- Nonstationary time series
- Co-integration
- Testing for the order of integration
- Further considerations
- Single equation methods
- Multiple equation methods.
Autoren-Porträt von Bernhard Pfaff
Bernhard Pfaff, Dr., studierte Volkswirtschaftslehre in Göttingen, Davis (Kalifornien) und Freiburg im Breisgau, wo er mit einer ökonometrischen Arbeit promoviert wurde. Nach verschiedenen Stationen als Volkswirt und quantitativer Analyst ist er heute Direktor bei Invesco Asset Management in Frankfurt.
Bibliographische Angaben
- Autor: Bernhard Pfaff
- 2006, XI, 140 Seiten, 19 Schwarz-Weiß-Abbildungen, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 0387279598
- ISBN-13: 9780387279596
Sprache:
Englisch
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