This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It attempts to bridge the gap between methods and realistic applications. This book contains the most important approaches to analyse time series which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series Granger causality tests and vector autoregressive models are presented. For real applied work the modelling of nonstationary uni- or multivariate time series is most important. Therefore, unit root and cointegration analysis as well as vector error correction models play a central part. Modelling volatilities of financial time series with autoregressive conditional heteroskedastic models is also treated.
"This excellent textbook presents an introduction to the time series analysis. It provides a good source of information for graduate and master students in economics and statistics. It is a well-written and easy to read book, illustrated by 56 good examples. Also, many important references are listed at the end of each chapter." -- Miroslav M. Ristic, Zentralblatt MATH, Vol. 1148, 2008
"This book presents to beginners a readable and easily accessible introduction to modern developments in time series econometrics and financial time series with an emphasis on basic concepts and practical applications. The book is a textbook consisting of seven chapters ... . the greatest merit of this textbook is that it enables readers to grasp the basic framework of time-series econometrics without relying on extensive reading." -- Yuzo Hosoya, Mathematical Reviews, Issue 2009 k
"This book presents to beginners a readable and easily accessible introduction to modern developments in time series econometrics and financial time series with an emphasis on basic concepts and practical applications. The book is a textbook consisting of seven chapters ... . the greatest merit of this textbook is that it enables readers to grasp the basic framework of time-series econometrics without relying on extensive reading." -- Yuzo Hosoya, Mathematical Reviews, Issue 2009 k