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Quantitative methods (economics) --- Mathematical statistics --- Business economics --- time series analysis --- statistiek --- econometrie

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toModernTime SeriesAnalysis With43Figuresand17Tables 123 ProfessorDr.GebhardKirchgässner UniversityofSt.Gallen SIAW-HSG Bodanstrasse8 CH-9000St.Gallen Switzerland Gebhard.Kirchgaessner@unisg.ch ProfessorDr.JürgenWolters FreieUniversitätBerlin InstituteforStatisticsandEconometrics Boltzmannstraße20 14195Berlin Germany wolters@wiwiss.fu-berlin.de LibraryofCongressControl Number:2007932230 ISBN978-3-540-73290-7 SpringerBerlinHeidelbergNewYork Thisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerial is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.Duplication ofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyright Law of September 9, 1965, inits current version, andpermission for usemustalways beobtained fromSpringer.ViolationsareliabletoprosecutionundertheGermanCopyrightLaw. SpringerisapartofSpringerScience+BusinessMedia springer.com ©Springer-VerlagBerlinHeidelberg2007 The use of general descriptive names, registered names, trademarks, etc. in this publication does notimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevant protectivelawsandregulationsandthereforefreeforgeneraluse. Production:LE-TXJelonek,Schmidt&VöcklerGbR,Leipzig E Cover-design:WMXDesignGmbH,Heidelberg SPIN12071654 42/3180YL-543210 Printedonacid-freepaper Preface Econometrics has been developing rapidly over the past four decades. This is not only true for microeconometrics which more or less originated during this period, but also for time series econometrics where the cointegration revolution influenced applied work in a substantial manner. Economists have been using time series for a very long time. Since the 1930s when econometrics became an own subject, researchers have mainly worked with time series. However, economists as well as econometricians did not really care about the statistical properties of time series. This attitude started to change in 1970 with the publication of the textbook Time Series Analysis, Forecasting and Control by GEORGE E.P. BOX and GWILYM M. JENKINS. The main impact, however, stems from the work of CLIVE W.J. GRANGER starting in the 1960s. In 2003 together with ROBERT W. ENGLE, he received the Nobel Prize in Economics for his work.

Quantitative methods (economics) --- Mathematical statistics --- Business economics --- time series analysis --- statistiek --- econometrie