Applied Time Series Econometrics

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Helmut Lütkepohl, Markus Krätzig
Cambridge University Press, Aug 4, 2004 - Business & Economics - 323 pages
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Time series econometrics is a rapidly evolving field. In particular, the cointegration revolution has had a substantial impact on applied analysis. As a consequence of the fast pace of development there are no textbooks that cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out briefly to remind the reader of the ideas underlying them and to give sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. The coverage of topics follows recent methodological developments. Unit root and cointegration analysis play a central part. Other topics include structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. A crucial component in empirical work is the software that is available for analysis. New methodologyis typically only gradually incorporated into the existing softwarepackages. Therefore a felxible Java interface has been created that allows readers to replicate the applications and conduct their own analyses.
 

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Contents

1 Initial Tasks and Overview
1
2 Univariate Time Series Analysis
8
3 Vector Autoregressive and Vector Error Correction Models
86
4 Structural Vector Autoregressive Modeling and Impulse Responses
159
5 Conditional Heteroskedasticity
197
6 Smooth Transition Regression Modeling
222
7 Nonparametric Time Series Modeling
243
8 The Software JMulTi
289
References
301
Index
317
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About the author (2004)

Helmut Lütkepohl is Professor of Economics at the European University Institute in Florence, Italy. He is on leave from Humboldt University Berlin where he has been Professor of Econometrics in the Faculty of Economics and Business Administration since 1992. He had previously been Professor of Statistics at the University of Kiel (1987-1992) and the University of Hamburg (1985-1987) and was Visiting Assistant Professor at the University of California, San Diego (1984-85). Professor Lütkepohl is Associate Editor of Econometric Theory, the Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviewa. He has published extensively in learned journals and books and is author, co-author and editor of a number of books in econometrics and time series analysis. Professor Lütkepohl is the author of Introduction to Multiple Time Series Analysis (1991) and a Handbook of Matrices (1996). His current teaching and research interests include methodological issues related to the study of nonstationary, integrated time series and the analysis of the transmission mechanism of monetary policy in the Euro area.

Markus Krätzig is a doctoral student in the Department of Economics at Humboldt University, Berlin.

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