Time Series Models: 2nd Edition
By Andrew C. Harvey
* Publisher: The MIT Press
* Number Of Pages: 308
* Publication Date: 1993-04-27
* ISBN-10 / ASIN: 0262082241
* ISBN-13 / EAN: 9780262082242
* Binding: Hardcover
Product Description:
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.
Andrew C. Harvey is Professor of Econometrics in the Department of Statistics and Mathematical Sciences at the London School of Economics and Political Science.
Summary: Finally, a good book on time series
Rating: 5
If you are looking for a good introductory time series book, this is the place to go. It starts out with introductory concepts, all the while walking the reader through the problems. It is a marked improvement over a competing volume by Walter Enders, which may offer a higher level of technical detail but lacks accessibility to the starting time series researcher, and doesn't develop concepts nearly as well as this volume.
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