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Appl Time Series Modelling and Forecast (Economics) Paperback – 17 Apr 2003


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Product details

  • Paperback: 316 pages
  • Publisher: John Wiley & Sons; 1 edition (17 April 2003)
  • Language: English
  • ISBN-10: 0470844434
  • ISBN-13: 978-0470844434
  • Product Dimensions: 17.1 x 2.1 x 24.2 cm
  • Average Customer Review: 4.6 out of 5 stars  See all reviews (5 customer reviews)
  • Amazon Bestsellers Rank: 494,286 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Product Description

From the Back Cover

Applied Time Series Modelling and Forecasting provides a relatively non–technical introduction to applied time series econometrics and forecasting involving non–stationary data. The emphasis is very much on the why and how and, as much as possible, the authors confine technical material to boxes or point to the relevant sources for more detailed information.

This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris. As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series. Harris and Sollis have also incorporated as many of the latest techniques in the area as possible including: testing for periodic integration and cointegration; GLS detrending when testing for unit roots; structural breaks and season unit root testing; testing for cointegration with a structural break; asymmetric tests for cointegration; testing for super–exogeniety; seasonal cointegration in multivariate models; and approaches to structural macroeconomic modelling. In addition, the discussion of certain topics, such as testing for unique vectors, has been simplified.

Applied Time Series Modelling and Forecasting has been written for students taking courses in financial economics and forecasting, applied time series, and econometrics at advanced undergraduate and postgraduate levels. It will also be useful for practitioners who wish to understand the application of time series modelling e.g. financial brokers.

Data sets and econometric code for implementing some of the more recent procedures covered in the book can be found on the following web site www.wiley.co.uk/harris

About the Author

Richard Harris is a Professor in the Department of Economics and Finance at the University of Durham. His areas of research are in the field of applied econometrics and he has published widely in numerous journals.

Robert Sollis is a Lecturer in the Department of Economics and Finance at the University of Durham. His research interests are in time series econometrics with particular focus on nonlinear models for macroeconomic and financial time series.


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9 of 9 people found the following review helpful By Amazon Customer on 30 Nov 2004
Format: Paperback
This book is mainly focused on cointegration(the title is quite misleading). The treatment is nice and NOT superficial. Every chapter deals (in)directly with cointegration, except the last one on GARCH models. There is even a chapter on panel data models and cointegration. Do NOT buy the book to get an extensive treatment of "time series modelling and forecasting" techniques. This book is useful if you need to apply cointegration in your work. This book should not be given to students as an introductory book on "time-series modelling and forecasting". Chris Brooks' Introductory Econometrics for Finance is much better for that purpose. Finally, a nice feature of the book is the use of PcGive and G@ARCH Ox packages.
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1 of 1 people found the following review helpful By Wen Yu on 23 Mar 2009
Format: Paperback
A good book for studying in time series modelling and forecasting. Basiclly, it is basic on that you have learned about regression models.
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Format: Paperback Verified Purchase
I bought this book because I am a student of Durham University, which is the authors belong. It can be supplement with other introduction of time series book, but the book put too much attention on co-intergration. I think the author should in fact talk about more on forecasting models, and modelling volitilities
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Format: Paperback Verified Purchase
it is intermediate to advanced reading, with a lot of details and hints you may not find in a standard econometrics textbook.
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2 of 3 people found the following review helpful By A Customer on 22 April 2003
Format: Paperback
Very user friendly; explains complex ideas succinctly. Ideal for the non-specialist who wants to understand co integration analysis, and its up-to-date application. This is an extension of the earlier book by Harris with additional chapters on panel co integration and financial time series econometrics.
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