Time series econometrics : a concise introduction / Terence C. Mills, Professor of Applied Statistics and Econometrics, Department of Economics, Loughborough University, UK.

By: Mills, Terence C [author.]Material type: TextTextPublisher: Houndmills, Basingstoke, Hampshire ; New York : Palgrave Macmillan, 2015Description: 1 online resource (169 pages) : illustrationsContent type: text Media type: computer Carrier type: online resourceISBN: 9781137525338 (e-book)Subject(s): Econometrics | Time-series analysisGenre/Form: Electronic books.Additional physical formats: Print version:: Time series econometrics : a concise introduction.DDC classification: 330.01/51955 LOC classification: HB139 | .M554 2015Online resources: Click to View
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.
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Includes bibliographical references and index.

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.

Description based on print version record.

Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.

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