Econometric TheoryISBN: 978-0-631-21584-4
Paperback
528 pages
April 2000, Wiley-Blackwell
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"The systematic use of the conditional expectation approach to
modelling throughout the text will provide readers with many useful
insights. It is a very good and thought-provoking book. Much can be
learnt from it, even by 'experts.' Leonard Gill, University of
Manchester
"The book is stong on linear dynamic modelling of time series
and has an excellent coverage of recent developments in
econometrics for non-stationery time series. Cointegration theory
is given a comprehensive and clear treatment, including an
exposition of the underlying probability background - stockastic
processes on function spaces, Brownian motion and so on - which I
found to enhance understanding considerably. This will be a useful
book, particularly to those teaching advanced courses in
time-series econometrics. Overall, it is a fine and well-written
piece of work.
Times Higher Education Supplement