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.

The Econometric Analysis of Time Series

A.C. Harvey

wiley

A companion volume to "The Econometric Analysis of Time" series, this book focuses on the estimation, testing and specification of dynamic models which are not based on any behavioural theory. It covers univariate and multivariate time series and emphasizes autoregressive moving-average processes. The book has been updated for this edition. It aims to provide a wide-ranging survey of the whole subject and and is intended for advanced undergraduates and graduate students of econometrics. It can also be used by students in other disciplines such as geography and engineering where the use of time series analysis is important.

Time Series Models

Business & Money

Economics

Pearson

Philip Allan

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Books by A.C. Harvey