Analysis of integrated and cointegrated time series with R (Book, 2008) [WorldCat.org]
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Analysis of integrated and cointegrated time series with R

Author: Bernhard Pfaff
Publisher: New York : Springer, 2008.
Series: Use R!
Edition/Format:   Print book : English : 2. edView all editions and formats
Publication:Analysis of integrated and cointegrated time series with R. Analysis of Integrated and Cointegrated Time Series with R.
Summary:
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 also enables him to conduct the various unit root tests and co-integration methods on his own by utilising the free statistical programming environment R. The book encompasses seasonal unit roots, fractional integration, coping  Read more...
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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Bernhard Pfaff
ISBN: 9780387759678 0387759670 9780387759661 0387759662
OCLC Number: 263457046
In: Pfaff, Bernhard
Description: XIII, 188 Seiten : Diagramme.
Contents: Univariate analysis of stationary time series.- Multivariate analysis of stationary time series.- Non-stationary time series.- Cointegration.- Testing for the order of integration.- Further considerations.- Single equation methods.- Multiple equation methods.- Appendix.- Abbreviations, nomenclature and symbols.- List of tables.- List of figures.- List of R code.- References.
Series Title: Use R!
Responsibility: Bernhard Pfaff.
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R-code for examples in the book  Read more...

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From the reviews:"Analysis of Integrated and Cointegrated Time Series with R (2nd Edition) ... offers a rigorous introduction to unit roots and cointegration, along with numerous examples in R to Read more...

 
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