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Time series econometrics (springer texts in business and economics)

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)ometricsSpringerKlaus NeusserBern SwitzerlandISSN 2192-4333 e-ISSN 2192-4341ISBN 978-3-319-32861-4 e-ISBN 978-3-319-32862-1DOI 10.1007/978-3-319-32862

-1Library of Congress Control Number: 2016938514© Springer International Publishing Switzerland 2016Springer Texts in Business and EconomicsThis Sprin Time series econometrics (springer texts in business and economics)

ger imprint is published by Springer NatureThis work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of t

Time series econometrics (springer texts in business and economics)

he material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microf

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)issimilar methodology now known or hereafter developed.The use of general descriptive names, registered names, trademarks, senice marks, etc. in tills

publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations Time series econometrics (springer texts in business and economics)

and therefore free for general use.The publisher, the authors and the editors are safe to assume that the advice and information in this book are bel

Time series econometrics (springer texts in business and economics)

ieved to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, wi

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics) springer International Publishing AG Switzerland PrefaceOver the past decades, time series analysis lias experienced a proliferous increase of applic

ations in economics, especially in macroeconomics and finance. Today these tools have become indispensable to any empirically working economist. Where Time series econometrics (springer texts in business and economics)

as in the beginning the transfer of knowledge essentially flowed from the natural sciences, especially statistics and engineering, to economics, over

Time series econometrics (springer texts in business and economics)

the years theoretical and applied techniques specifically designed for the nature of economic time series and models have been developed. Thereby, the

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)tility have been extremely fruitfill and tar-reaching areas of research. With the award of the Nobel Prizes to Clive w. J. Granger and Robert F. Engle

III in 2003 and to Thomas J. Sargent and Christopher A. Sims in 2011. the field has reached a certain degree of maturity. Thus, the idea suggests its Time series econometrics (springer texts in business and economics)

elf to assemble the vast amount of material scattered over many papers into a comprehensive textbook.The book is self-contained and addresses economic

Time series econometrics (springer texts in business and economics)

s students who have already some prerequisite knowledge in econometrics. It is thus suited for advanced bachelor, master's, or beginning P11D students

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)ement these techniques on their own. Although the book is trying to be rigorous in terms of concepts, definitions, and statements of theorems, not all

proofs are carried out. This is especially true for the more technically and lengthy proofs for which the reader is referred to the pertinent literat Time series econometrics (springer texts in business and economics)

ure.The book covers approximately a two-semester course in time series analysis and is divided in two parts. The first part treats univariate time ser

Time series econometrics (springer texts in business and economics)

ies, in particular autoregressive moving-average processes. Most of the topics are standard and can form the basis for a one-semester introductory tim

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)advanced course. The second part is devoted to multivariate time series analysis and in particular to vector autoregressive processes. It can be taugh

t independently of the first part. Tile identification, modeling, and estimation of these processes form the core of the second part. A special chapte Time series econometrics (springer texts in business and economics)

r treats the estimation, testing, and interpretation of cointegrated systems. The book also contains a chapter with an introduction to state space mod

Time series econometrics (springer texts in business and economics)

els and the Kalman filter. Whereas the books is almost exclusively concerned with linear systems, the last chapter gives a perspective on some more re

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)inally, I have produced five appendices which summarize important topics such as complex numbers, linear difference equations, and stochastic converge

nce.As time series analysis has become a tremendously growing field with an active research in many directions, it goes without saying that not all to Time series econometrics (springer texts in business and economics)

pics received the attention they deserved and that there are areas not covered at all. This is especially true for the recent advances made in nonline

Time series econometrics (springer texts in business and economics)

ar time series analysis and in the application of Bayesian techniques. These two topics alone would justify an extra book.The data manipulations and c

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)the examples and additional information can be downloaded from my home page www.neusser.ch. To maximize the learning success, it is advised to replica

te the examples and to perform similarexercises with alternative data. Interesting macroeconomic time series Ci https://khothuvier .corn downloaded fr Time series econometrics (springer texts in business and economics)

om the following home pages:Germany: www.bundesbank.des w i tzerl a nd: w w w. snb. c hUnited Kingdom: www.statistics.gov.ukUnited States: research.st

Time series econometrics (springer texts in business and economics)

louisfed.org fred2The book grew out of lectures which I had the occasion to give over the years in Bern and other universities. Thus, it is a concern

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo

Time series econometrics (springer texts in business and economics)I also want to thank my colleagues and teaching assistants Andreas Bachmann, Gregor Băurle. Fabrice Collard, Sarah Fischer, Stephan Leist, Senada Nuki

c, Kurt Schmidheiny, Reto Tanner, and Martin Wagner for reading the manuscript or part of it and for making many valuable criticisms and comments. Spe Time series econometrics (springer texts in business and economics)

cial thanks go to my former colleague and coauthor Robert Kunst who meticulously read and commented on the manuscript. It goes without saying that all

Time series econometrics (springer texts in business and economics)

errors and shortcomings go to my expense.Klaus NeusserBern, Switz e ria nd/Eggenburg, Austria42401

Springer Texts in Business and EconomicsMore information about tills series at http://\\ \v\v. springer.com'series/10099Klaus NeusserTime Series Econo