Time Series and Dynamic Models by Christian Gourieroux
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Time Series and Dynamic Models
By Christian Gourieroux

Time Series and Dynamic Models

By (author) See other recent books by Christian Gourieroux See other recent books by Alain Monfort
Series edited by Peter C. B. Phillips See other recent books by Peter C. B. Phillips
Format: Hardback

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Time Series and Dynamic Models by Christian Gourieroux

Book Description

In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.

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Book Details

ISBN: 9780521411462
ISBN-10: 0521411467
Format: Hardback
(228mm x 152mm x 41mm)
Pages: 688
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 13-Jan-1996
Country of Publication: United Kingdom

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Books By Author Christian Gourieroux

Granularity Theory with Applications to Finance and Insurance by Christian Gourieroux Granularity Theory with Applications to Finance and Insurance, Paperback (September 2014)

This book provides the first comprehensive overview of the granularity theory and its usefulness for risk analysis, statistical estimation, and derivative pricing.

Reduced Forms of Rational Expectations Models by Christian Gourieroux Reduced Forms of Rational Expectations Models, Paperback (August 2013)

A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.

» View all books by Christian Gourieroux

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Recent books by Alain Monfort close
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