Analysis of Integrated and Cointegrated Time Series with R / Edition 2

Paperback (Print)
Buy New
Buy New from BN.com
$62.68
Used and New from Other Sellers
Used and New from Other Sellers
from $62.02
Usually ships in 1-2 business days
(Save 22%)
Other sellers (Paperback)
  • All (6) from $62.02   
  • New (5) from $62.02   
  • Used (1) from $105.81   

Overview

This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Read More Show Less

Editorial Reviews

From the Publisher

From the reviews:

"Analysis of Integrated and Cointegrated Time Series with R (2nd Edition) … offers a rigorous introduction to unit roots and cointegration, along with numerous examples in R to illustrate the various methods. The book, now in its second edition, provides an overview of this active area of research in time series econometrics. It manages to be thorough (using formal notation), yet remains applied in its focus.… The second edition also adds new material on VAR and SVAR models which strengthens the coverage of multivariate methods.… the book can clearly be recommended to both researchers and practitioners in time series econometrics." (Dirk Eddelbuettel, Journal of Statistical Software, Volume 30, Book Review 5, 2009-04-27)

"The writing is lucid and the book and software used can be recommended to its intended audience. The value of the book lies principally in showing how a number of packages including the author's own packages urca and vars may be used for modern econometric analysis." (David J. Scott, International Statistical Review, 77, 1, 2009)

From the reviews of the second edition:

"The book is divided into three parts. … This book addresses senior undergraduates, graduate students and practitioners in the field of econometrics. This is not a text in statistical theory, but does cover modern statistical methodology. It is particularly suited as an accompanying text in applied computer laboratory classes." (M. P. Moklyachuk, Mathematical Reviews, Issue 2009 k)

“The prominent feature of this book is that it demonstrates how rapidly different inference methods, diagnostic testing, impulse response analysis, forecast error variance decomposition, and forecasting can be implemented with R, which may interest many practitioners working in this arena. … the book is descriptive, some chapters are a combination of overviews and developments. This book has several programming examples that utilize both real and artificial data. The style and format of the edition is standard and it offers Name, Function and Subject indexes.” (Technometrics, Vol. 52 (1), February, 2010)

Read More Show Less

Product Details

  • ISBN-13: 9780387759661
  • Publisher: Springer New York
  • Publication date: 8/9/2008
  • Series: Use R! Series
  • Edition description: 2nd ed. 2008
  • Edition number: 2
  • Pages: 190
  • Sales rank: 851,016
  • Product dimensions: 6.00 (w) x 9.20 (h) x 0.40 (d)

Table of Contents

Univariate analysis of stationary time series.- Multivariate analysis of stationary time series.- Non-stationary time series.- Cointegration.- Testing for the order of integration.- Further considerations.- Single equation methods.- Multiple equation methods.- Appendix.- Abbreviations, nomenclature and symbols.- List of tables.- List of figures.- List of R code.- References.

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)