New Developments in Time Series Econometrics

  • Jean-Marie Dufour
  • Baldev Raj
Conference proceedings

Part of the Studies in Empirical Economics book series (STUDEMP)

Table of contents

  1. Front Matter
    Pages i-v
  2. New Developments in Time Series Econometrics: An Overview

    1. Jean-Marie Dufour, Baldev Raj
      Pages 1-8
  3. Modelling of Multivariate Economic Time Series

    1. Front Matter
      Pages 9-9
    2. George C. Tiao, Ruey S. Tsay, Taychang Wang
      Pages 11-37
    3. Franz C. Palm, H. M. M. Peeters, G. A. Pfann
      Pages 83-115
  4. Structural Change Analysis

    1. Front Matter
      Pages 117-117
    2. Carmela E. Quintos, Peter C. B. Phillips
      Pages 119-150
    3. Helmut Lütkepohl
      Pages 173-187
  5. Seasonality, Cointegration and Fractional Integration

About these proceedings


This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.


Econometric Multivariate Time Series Multivariate Zeitreihen VAR-Models Zeitreihenanalyse cointegration econometrics integration modeling nonparametric methods time series time series analysis value at risk value-at-risk Ökonometrie

Editors and affiliations

  • Jean-Marie Dufour
    • 1
  • Baldev Raj
    • 2
  1. 1.Université de MontréalMontréalCanada
  2. 2.School of Business and EconomicsWilfrid Laurier UniversityWaterlooCanada

Bibliographic information

Industry Sectors
Finance, Business & Banking