Analysis of Integrated and Cointegrated Time Series with R
Publication year: 2008
ISBN: 978-0-387-75967-8
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The analysis of integrated and co-integrated time series can be considered as the main methodology employed in applied econometrics. This book not only introduces the reader to this topic but enables him to conduct the various unit root tests and co-integration methods on his own by utilizing the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping with structural breaks, and multivariate time series models. The book is enriched by numerous programming examples to artificial and real data so that it is ideally suited as an accompanying text book to computer lab classes.
Subject: Mathematics and Statistics, Co-integration, Computer, SVEC models, Time series, VAR, VEC, Variance, calculus, econometrics, fractional integration, programming, unit roots
