Outlier Robust Analysis of Economic Time Series
by
Andre Lucas - Philip Hans Franses - Dick van Dijk
This publication explains how statistical techniques, usually applied to cross-sectional data, can be applied to time series in order to avoid the use of inappropriate models. It aims to prove useful when analysing atypical observations in economic and financial time series.
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Complete description
This is a concise introduction to the literature on the statistical analysis of atypical observations in economic and financial time series. It shows how statistical techniques usually applied to cross-sectional data can be applied to time series in order to avoid the use of inappropriate models.
About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
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General info
Publisher & Imprint:
Oxford University Press Inc
City:
New York
Pages:
256
More info:
height 234 mm
width 156 mm
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Age recommended:
College/higher education
Subject Indexing & Classification
Dewey:(DC21) 330.0151
Library of Congress Subject: Econometrics
Departments:
Economic statistics;
Record updated at:
17 August, 2012
time:
01:14
Summary
Outlier Robust Analysis of Economic Time Series
PART I: OUTLIER ROBUST TIME SERIES ANALYSIS; 1. Introduction; 2. Outliers; 3. Effects of Outliers; 4. Outlier Robustness; 5. Outlier Robust Estimation; 6. Choosing and Using a Robust Estimator; 7. Outlier Robust Model Selection and Evaluation; PART II: TOPICS IN OUTLIER ROBUST ANALYSIS OF ECONOMIC TIME SERIES; 8. Univariate Outlier Robust Unit Root Testing; 9. Multivariate Outlier Robust Unit Root Testing; 10. Outlier Robust Modeling of Volatility; 11. Extensions and Concluding Remarks
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