Applied Econometric Time Series (Wiley Series in Probability and Statistics)

This book is extremely well structured and material is all sufficiently detailed. Best as an intermediate econometrics text.Primary topics include:-Difference Equations (characteristic roots, homogenous and particular solutions, lag operators, deterministic vs. stochastic trends, unit roots & Dickey Fuller)-ARMA models (trend vs. difference stationary, autocorrelation functions, Box-Jenkins model selection, Hodrick-Prescott decomposition)-(G)ARCH models (conditional variance, max likelihood, variants like ARCH-M and threshold models, multivariate)-Vector Autoregression (structural vs. reduced-form, impulse response, Choleski & structural decomposition)-Cointegration (error correction models, Engle-Granger & Johansen approaches)-Nonlinear models (RESET, McLeod-Li, threshold and smooth transition models, LSTAR vs. ESTAR, endogenous structural breaks)

This book continues its tradition as the best mix available between formality, intuition an applications of econometric time series, The author's approach of not producing a mega encyclopedic book and his clear expositions of the selected themes is extraordinary.

so much useful.

The most important text for economists who are entering the fabulous world of time series analysis. Clear and simple explanations and many good examples.

This book was delivered in time, looking just as described.

Hands down best applied econometric time series book out there.

It is a good book for people who are gonna boost their skills in real work.

Good

Nice textbook! Though there are some typo errors.

It was a bit damage when I got it