[原创]Analysis of Integrated and Co-integrated Time Series with R (Use R)

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2008-9-5 16:27:00 上传

[原创]Analysis of Integrated and Co-integrated Time Series with R (Use R)

Analysis of Integrated and Co-integrated Time Series with R (Use R)
by Bernhard Pfaff 

Analysis of Integrated and Co-integrated Time Series with R (Use R)
By Bernhard Pfaff


Publisher:   Springer Number Of Pages:   208 Publication Date:   2008-08-11 ISBN-10 / ASIN:   0387759662 ISBN-13 / EAN:   9780387759661 Binding:   Paperback

Product Description:

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.

The second edition adds a discussion of vector auto-regressive, structural vector auto-regressive, and structural vector error-correction models. To analyze the interactions between the investigated variables, further impulse response function and forecast error variance decompositions are introduced as well as forecasting. The author explains how these model types relate to each other.

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关键词：Time Series Integrated integrate Analysis Analysi Analysis time Series use Integrated

设置错误，免费下载如下：

嗯，第二版的，很强悍，呵呵！

一个金币，吓一跳，免费的好

楼主，你太伟大了，这可是用R进行单位根检验，协整分析以及进行VAR分析的好书 

非常感谢提供这么好的资料！bingobingo是哪个版版主啊？以后两版多多交流合作，多提供有用的资料！

偶在经济数学版，哈，也欢迎版主常去莅临指导：）

楼主真是太好了！

谢谢分享这么好的资料

thanks

太感谢了！