Introduction to Modern Time Series Analysis Second Edition

Abstract

This book presents modern developments in time series econometricsthat are applied to macroeconomic and financial time series, bridgingthe gap between methods and realistic applications. It presents themost important approaches to the analysis of time series, which maybe stationary or nonstationary. Modelling and forecasting univariatetime series is the starting point. For multiple stationary time series,Granger causality tests and vector autogressive models are presented.As the modelling of nonstationary uni- or multivariate time seriesis most important for real applied work, unit root and cointegrationanalysis as well as vector error correction models are a centraltopic. Tools for analysing nonstationary data are then transferredto the panel framework. Modelling the (multivariate) volatility offinancial time series with autogressive conditional heteroskedasticmodels is also treated.