Time Series Econometrics
A Concise Introduction
by Terence C. Mills
Publisher: Palgrave Macmillan
Book Details
| Print ISBN | 9781137525321 |
| eText ISBN | 9781137525338 |
| Publisher | Palgrave Macmillan |
| Publishing Year | 2015 |
| Language | English |
| Pages | 156 |
Time Series Econometrics: A Concise Introduction is a textbook by Terence C. Mills that provides an introductory treatment of time series econometrics. The volume is designed for students, researchers, and practitioners in economics and finance who seek to understand real functioning economies rather than relying on abstract models.
Core thematic areas include univariate and multivariate modeling, volatility analysis, and forecasting. The text examines methods for stationary and non-stationary data, as well as cointegrated relationships.
To support students and researchers making initial steps in handling time series data, key concepts are illustrated with examples using UK and US data alongside computational details.
Table of Contents
Chapter 1: Introduction
Chapter 2: Modelling Stationary Time Series: the ARMA Approach
Chapter 3: Non-stationary Time Series: Differencing and ARIMA Modelling
Chapter 4: Unit Roots and Related Topics
Chapter 5: Modelling Volatility using GARCH Processes
Chapter 6: Forecasting with Univariate Models
Chapter 7: Modelling Multivariate Time Series: Vector Autoregressions and Granger Causality
Chapter 8: Cointegration in Single Equations
Chapter 9: Cointegration in Systems of Equations
Chapter 10: Extensions and Developments
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