The Econometric Analysis of Time Series / Edition 2

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Overview

This new edition of A.C. Harvey's clearly written, upper-level text has been revised and several sections have been completely rewritten. There is new material on a number of topics, including unit roots, ARCH, and cointegration.

The Econometric Analysis of Time Series focuses on the statistical aspects of model building, with an emphasis on providing an understanding of the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs. It explores the way in which recent advances in time series analysis have affected the development of a theory of dynamic econometrics, sets out an integrated approach to the problems of estimation and testing based on the method of maximum likelihood, and presents a coherent strategy for model selection.

A.C. Harvey is Professor of Econometrics at the London School of Economics.

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Editorial Reviews

Booknews
A textbook for graduates and upper level undergraduates. The second edition (first, 1981) contains new material on unit roots, ARCH, and cointegration. Emphasizes the statistical aspects of model building, and the main principles rather than rigorous proofs. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Sort by: Showing 1 Customer Reviews
  • Posted April 11, 2009

    A True Gem

    I had this sitting in my bookshelf for the last twenty years. Browsed through first two or three chapters before, but never really got around to studying it.

    I started to look at it last night and very pleasantly surprised how wonderful it is. Excellent organization, excellent presentation, excellent intuitions, and excellent organization. Concise and up to the point. Not a single word can be added or removed to make it better.

    Now everything on my table is moved out to enjoy this gem at a relaxed pace. I hope this gem is updated soon.

    Normally I like many applications and opportunities for me to replicate the results. In this particular case, I am glad that main explanation is not distracted with too many excursions into data and other research.

    My copy is first edition (1981). Top of my book purchase list is the second edition. I hope a newer edition of with updates including cointegration ECM, VAR, ARCH, ... is coming out soon.

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