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The Econometric Analysis of Time Series, 2nd Edition

Author

Listed:
  • Andrew C. Harvey

    (University of Cambridge)

Abstract

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.

Suggested Citation

  • Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
    • Handle: RePEc:mtp:titles:026208189x
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    More about this item

    Keywords

    model building; econometrics;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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