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1、GebhardKirchgässner·JürgenWoltersIntroductiontoModernTimeSeriesAnalysisWith43Figuresand17Tables123ProfessorDr.GebhardKirchgässnerUniversityofSt.GallenSIAW-HSGBodanstrasse8CH-9000St.GallenSwitzerlandGebhard.Kirchgaessner@unisg.chProfessorDr.JürgenWoltersFre
2、ieUniversitätBerlinInstituteforStatisticsandEconometricsBoltzmannstraße2014195BerlinGermanywolters@wiwiss.fu-berlin.deLibraryofCongressControlNumber:2007932230ISBN978-3-540-73290-7SpringerBerlinHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarerese
3、rved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,andstorageindatabanks.Duplicationofthispublicationorpartsthereofispermitted
4、onlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliabletoprosecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+BusinessMediaspringer.com©Spr
5、inger-VerlagBerlinHeidelberg2007Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse
6、.Production:LE-TEXJelonek,Schmidt&VöcklerGbR,LeipzigCover-design:WMXDesignGmbH,HeidelbergSPIN1207165442/3180YL-543210Printedonacid-freepaperPrefaceEconometricshasbeendevelopingrapidlyoverthepastfourdecades.Thisisnotonlytrueformicroeconometricswhichmoreorle
7、ssoriginatedduringthisperiod,butalsofortimeserieseconometricswherethecointegrationrevolutioninfluencedappliedworkinasubstantialmanner.Economistshavebeenusingtimeseriesforaverylongtime.Sincethe1930swheneconometricsbecameanownsubject,researchershavemainlywor
8、kedwithtimeseries.However,economistsaswellaseconometriciansdidnotreallycareaboutthestatisticalpropertiesoftimeseries.Thisattitudestartedtochangein1970withthepublicationofthetextbookTimeSeriesAnalysis,Forecast
