Pfaff B. Analysis of Integrated and Cointegrated Time Series with R. 2ed 2008
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Pfaff B. Analysis of Integrated and Cointegrated Time Series with R. 2ed 2008
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Description:
Textbook in PDF format
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Theoretical Concepts
Univariate Analysis of Stationary Time Series
Multivariate Analysis of Stationary Time Series
Non-stationary Time Series
Cointegration
Unit Root Tests
Testing for the Order of Integration
Further Considerations
Cointegration
Single-Equation Methods
Multiple-Equation Methods
Appendix
Time Series Data
Technicalities
CRAN Packages UsedAbbreviations, Nomenclature, and Symbols