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1、P1:IMLCB698-DriverCB698-LUTKEPOHICB698-LUTKEPOHI-Sample.clsFebruary28,200421:33AppliedTimeSeriesEconometricsTimeserieseconometricsisarapidlyevolvingfield.Inparticular,thecointegrationrevolutionhashadasubstantialimpactonappliedanalysis.Asaconsequenceofthefastpaceofdevelo
2、pment,therearenotextbooksthatcoverthefullrangeofmethodsincurrentuseandexplainhowtoproceedinapplieddomains.Thisgapintheliteraturemotivatesthepresentvolume.Themethodsaresketchedoutbrieflytoremindthereaderoftheideasunderlyingthemandtogivesufficientbackgroundforempiricalwork
3、.Thevolumecanbeusedasatextbookforacourseonappliedtimeserieseconometrics.Thecoverageoftopicsfollowsrecentmethodologicaldevelop-ments.Unitrootandcointegrationanalysisplayacentralpart.Othertopicsincludestructuralvectorautoregressions,conditionalheteroskedasticity,andnonli
4、nearandnonparametrictimeseriesmodels.Acrucialcomponentinempiricalworkisthesoftwarethatisavailableforanalysis.Newmethodologyistypicallyonlygraduallyincorporatedintotheexistingsoftwarepackages.ThereforeaflexibleJavainterfacehasbeencreatedthatallowsreaderstoreplicatetheapp
5、licationsandconducttheirownanalyses.HelmutL¨utkepohlisProfessorofEconomicsattheEuropeanUniversityInstituteinFlorence,Italy.HeisonleavefromHumboldtUniversity,Berlin,wherehehasbeenProfessorofEconometricsintheFacultyofEconomicsandBusinessAdministrationsince1992.Hehadprevi
6、ouslybeenProfessorofStatisticsattheUniversityofKiel(1987–92)andtheUniversityofHamburg(1985–87)andwasVisitingAssistantProfessorattheUniversityofCalifornia,SanDiego(1984–85).ProfessorL¨utkepohlisAssociateEditorofEconometricTheory,theJournalofAppliedEconometrics,Macroecon
7、omicDynamics,EmpiricalEconomics,andEconometricReviews.Hehaspublishedextensivelyinlearnedjournalsandbooksandisauthor,coauthorandeditorofseveralbooksoneconometricsandtimeseriesanalysis.ProfessorL¨utkepohlistheauthorofIntroductiontoMultipleTimeSeriesAnalysis(1991)andaHand
8、bookofMatrices(1996).Hiscurrentteachingandresearchinterestsincludemethodologicalissuesrelatedtothestudyofnonstationar
