The Econometric Analysis of Time Series

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MIT Press, 1990 - Business & Economics - 387 pages
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This new edition of A.C. Harvey's clearly written, upper-level text has been revised and several sections have been completely rewritten. There is new material on a number of topics, including unit roots, ARCH, and cointegration.

The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs. It explores the way in which recent advances in time series analysis have affected the development of a theory of dynamic econometrics, sets out an integrated approach to the problems of estimation and testing based on the method of maximum likelihood, and presents a coherent strategy for model selection.

A.C. Harvey is Professor of Econometrics at the London School of Economics.
 

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最后两章动态回归,一章是偏重transfer model方法
一章是偏重Johansen的向量方法,需要细读

Contents

Introduction
1
Regression
37
The Method of Maximum Likelihood
84
Numerical Optimisation
122
Test Procedures and Model Selection
146
Regression Models with Serially Correlated Disturbances
191
Dynamic Models I
225
Stochastic Difference Equations
264
Simultaneous Equation Models
313
Appendix on Matrix Algebra
359
Answers to Selected Exercises
369
Subject Index
380
Author Index
386
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ARCH: Selected Readings
Robert F. Engle
No preview available - 1995
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About the author (1990)

Andrew Harvey is Professor of Econometrics at the University of Cambridge and a Fellow of Corpus Christi College. He is a Fellow of the Econometric Society and of the British Academy. He has published more than one hundred articles in journals and edited volumes and is the author of three books, The Econometric Analysis of Time Series, Time Series Models, and Forecasting and Structural Time Series Models and the Kalman Filter (Cambridge University Press, 1989). He is one of the developers of the STAMP computer package.

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