Time series econometrics : : a concise introduction / / Terence C. Mills, Professor of Applied Statistics and Econometrics, Department of Economics, Loughborough University, UK.
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| Place / Publishing House: | Houndmills, Basingstoke, Hampshire ;, New York : : Palgrave Macmillan,, 2015. |
| Year of Publication: | 2015 |
| Language: | English |
| Online Access: | |
| Physical Description: | 1 online resource (169 pages) :; illustrations |
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Table of Contents:
- Introduction
- Modelling stationary time series : the ARMA approach
- Non-stationary time series : differencing and ARIMA modelling
- Unit roots and related topics
- Modelling volatility using GARCH processes
- Forecasting with univariate models
- Modelling multivariate time series : vector autoregressions and Granger causality
- Cointegration in single equations
- Cointegration in systems of equations
- Extensions and developments.