Econometrics of Time Series

“Econometrics of Time Series” is a specialized guide that delves into advanced techniques for analyzing economic time series data. From fundamental methods like ARMA and GARCH models to the more intricate VAR and SVAR frameworks, the book provides a comprehensive understanding of time series analysis in econometrics. Exploring concepts such as co-integration, Beveridge-Nelson decomposition, and the Kalman Filter, it equips researchers, economists, and students with the tools to unravel complex economic dynamics. Whether deciphering the intricacies of economic trends or forecasting future developments, this book stands as an indispensable resource for those seeking a thorough grasp of advanced econometric methods applied to time series data.

Keywords

Time series analysis, ARMA, GARCH, VAR, SVAR, co-integration, Beveridge-Nelson, Kalman Filter