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Applied Time Series Modelling and Forecasting (Paperback)

by Richard Harris (Author), Robert Sollis (Author)

4.7 out of 5 stars See all reviews (3 customer reviews)

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Product details

Paperback: 312 pages
Publisher: John Wiley & Sons (17 April 2003)
Language English
ISBN-10: 0470844434
ISBN-13: 978-0470844434
Product Dimensions: 24 x 17 x 2.4 cm

Average Customer Review: 4.7 out of 5 stars See all reviews (3 customer reviews)

Amazon.co.uk Sales Rank: 285,132 in Books (See Bestsellers in Books)
Popular in these categories:
#30 in Books > Business, Finance & Law > Professional Finance > Forecasting
#30 in Books > Business, Finance & Law > Economics > Forecasting

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Product Description

This book covers time series modeling and forecasting for econometrics and finance students. This new edition has been simplified for more ease of use and includes new chapters and substantial important revisions.

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

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Customer Reviews

3 Reviews

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4 star:		(1)
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4.7 out of 5 stars (3 customer reviews)

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Most Helpful Customer Reviews

8 of 8 people found the following review helpful:

4.0 out of 5 stars Main Focus on cointegration + use of PcGive & G@RCH, 30 Nov 2004

By	M. Petitjean "MP" (Belgium) - See all my reviews (REAL NAME)

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.

Information on one of the two authors.

http://www.dur.ac.uk/robert.sollis/

Supplementary materials.

http://www.wiley.co.uk/harris/supp.html

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2 of 3 people found the following review helpful:

5.0 out of 5 stars Applied Time Series Modelling and Forecasting, 22 April 2003

By A Customer

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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5.0 out of 5 stars good, 23 Mar 2009

By	Wen Yu (NCL UK) - See all my reviews (REAL NAME)

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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