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MACROECONOMETRICS AND TIME SERIES ANALYSIS


WOHLGEMUT E. BLUME L.E.

wydawnictwo: PALGRAVE MACMILLAN , rok wydania 2009, wydanie I

cena netto: 380.00 Twoja cena  361,00 zł + 5% vat - dodaj do koszyka

Editors Durlauf and Blume have selected key articles from the original 8-volume edition of The New Palgrave Dictionary of Economics and collected them into one handy volume. Each article in this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field.


STEVEN N. DURLAUF is the Kenneth J. Arrow Professor of Economics at the University of Wisconsin at Madison, USA. He has served as Co-Director of the Economics Program of the Santa Fe Institute and is currently a Research Associate of the National Bureau of Economic Research. A Fellow of the Econometric Society, Durlauf's research covers a range of topics in macroeconomics, econometrics, and income inequality. He received a BA in Economics from Harvard in 1980 and his PhD in Economics from Yale in 1986.

LAWRENCE E BLUME is Goldwin Smith Professor of Economics at Cornell University, USA. He is a member of the external faculty at the Santa Fe Institute, where he has served as Co-Director of the Economics Program and on the Institute's steering committee. He teaches and conducts research in general equilibrium theory and game theory, and also has research projects on natural resource management and network design. A Fellow of the Econometric Society, he received an AB in Economics from Washington University and a PhD in Economics from Berkeley.


Table of Contents

List of Contributors vii

General Preface ix

Introduction x

Aggregation (econometrics) Thomas M. Stoker 1

ARCH models Oliver B. Linton 15

Bayesian methods in macroeconometrics Frank Schorfheide 28

Bayesian time series analysis Mark F.J. Steel 35

Central limit theorems Werner Ploberger 46

Cointegration Mark W. Watson 53

Continuous and discrete time models Christopher A. Sims 60

Data filters Timothy Cogley 68

Equilibrium-correction models David F. Hendry 76

Forecasting Clive W.J. Granger 90

Fractals Laurent E. Calvet 94

Functional central limit theorems Werner Ploberger 99

Generalized method of moments estimation Lars Peter Hansen 105

Granger-Sims causality G.M. Kuersteiner 119

Heteroskedasticity and autocorrelation corrections Kenneth D. West 135

Impulse response function Helmut Lütkepohl 145

Kalman and particle filtering Jesús Fernández-Villaverde 151

Law(s) of large numbers Werner Ploberger 158

Long memory models P.M. Robinson 163

Nonlinear time series analysis Bruce Mizrach 169

Prediction formulas Charles H. Whiteman Kurt F. Lewis 178

Rational expectations Thomas J. Sargent 193

Regime switching models James D. Hamilton 202

Seasonal adjustment Svend Hylleberg 210

Serial correlation and serial dependence Yongmiao Hong 227

SNP: nonparametric time series analysis A. Ronald Gallant 245

Spectral analysis Timothy J. Vogelsang 250

Spline functions Dale J. Poirier 260

Spurious regressions Clive W.J. Granger 265

State space models Andrew Harvey 269

Stochastic volatility models Neil Shephard 276

Structrual change, econometrics of Pierre Perron 288

Structural vector autoregressions JesúsFernández-Villaverde Juan F. Rubio-Ramírez 303

Threshold models Timo Teräsvirta 308

Time series analysis Francis X. Diebold Lutz Kilian Marc Nerlove 317

Trend/cycle decomposition Charles R. Nelson 343

Unit roots Peter C.B. Phillips 347

Variance decomposition Helmut Lütkepohl 369

Varying coefficient models Andros Kourtellos Thanasis Stengos 372

Vector autoregressions Tao Zha 378

Wavelets James B. Ramsey 391

Index 399


368 pages, Hardcover

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