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Focusing on integrated and co-integrated time series, this book provides a comprehensive introduction to applied econometrics. It guides readers in conducting unit root tests and co-integration methods using R, a free statistical programming environment. Key topics include seasonal unit roots, fractional integration, structural breaks, and multivariate time series models. With numerous programming examples based on both artificial and real data, it serves as an excellent resource for computer lab classes, enhancing practical understanding of the methodologies.
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Analysis of Integrated and Cointegrated Time Series with R, Bernhard Pfaff
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- Année de publication
- 2008
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