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  • Time Series Models
Time Series Models

Time Series Models, second edition

by Andrew C. Harvey

  • $58.00 Hardcover

326 pp., 6 x 9 in,

  • Hardcover
  • 9780262082242
  • Published: April 27, 1993

$58.00

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  • Description
  • Author(s)

companion volume to Andrew Harvey's highly successful Econometric Analysis of Time Series, focusing on the estimation, testing, and specification of both univariate and multivariate time series models.

Time Series Models is a companion volume to Andrew Harvey's highly successful Econometric Analysis of Time Series. It takes students to another level from the first book, focusing on the estimation, testing, and specification of both univariate and multivariate time series models. The emphasis is on understanding how time series are analyzed and models constructed. Familiarity with calculus, linear algebra, and statistical interference is assumed.Although Time Series Models pairs well with Harvey's earlier text, it is self-contained. For the second edition, the author has added new sections on nonlinear models, unit roots, structural time series models, intervention analysis, and cointegration. He has addressed new developments, rearranged some material, and changed the emphasis in certain areas.

A.C. Harvey is Professor of Econometrics at the London School of Economics.

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