This monograph relates cointegration to economic theories and describes cointegrated regression as a revolution in econometric methods for macroeconomics. It provides a guide for the selection of appropriate inference methods to study macroeconomic relations.
Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. Unit Roots, Cointegration, and Structural Change is a ma…
Economic Time Series: Modeling and Seasonality is a focused resource on analysis of economic time series as pertains to modeling and seasonality, presenting cutting-edge research that would otherwise be scattered throughout diverse peer-reviewed journals. This compilation of 21 …
"Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this …
"Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this …
"An Introduction to Analysis of Financial Data with R explores basic concepts of visualization of financial data. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applic…
A state-of-the-art presentation of spatio-temporal processes, bridging classic ideas with modern hierarchical statistical modeling concepts and the latest computational methods. From understanding environmental processes and climate trends to developing new technologies for map…
