Time Series Econometrics: A Concise Introduction

by Terence C. Mills

Overview

This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.

Product Details

ISBN-13:	9781137525321
Publisher:	Palgrave Macmillan UK
Publication date:	08/26/2015
Series:	Palgrave Texts in Econometrics
Edition description:	1st ed. 2015
Pages:	156
Product dimensions:	5.60(w) x 8.40(h) x 0.60(d)

About the Author

Terence C. Mills is Professor of Applied Statistics and Econometrics at Loughborough University. He has published over 200 articles and books on topics ranging from economic history and the history of econometric thought, through economics, econometrics and finance, to health and well-being, climatology and meteorology.

Table of Contents

1. Introduction

2. Modelling Stationary Time Series: the ARMA Approach

3. Non-stationary Time Series: Differencing and ARIMA Modelling

4. Unit Roots and Related Topics

5. Modelling Volatility using GARCH Processes

6. Forecasting with Univariate Models

7. Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality

8. Cointegration in Single Equations

9. Cointegration in Systems of Equations

10. Extensions and Developments

Index