Time Series and Dynamic Models (Themes in Modern Econometrics) [Hardcover]

Christian Gourieroux (Author), Alain Monfort (Author), Giampiero Gallo (Translator)

Book Description

ISBN-10: 0521411467 | ISBN-13: 978-0521411462 | Publication Date: January 13, 1996

Concisely written and up-to-date, this book provides a unified and comprehensive analysis of the full range of topics that comprise modern time series econometrics. While it does demand a good quantitative grounding, it does not require a high mathematical rigor or a deep knowledge of economics. One of the book's most attractive features is the close attention it pays throughout to economic models and phenomena. The authors provide a sound analysis of the statistical origins of topics such as seasonal adjustment, causality, exogeneity, cointegration, prediction, and forecasting. Their treatment of Box-Jenkins models and the Kalman filter represents a synthesis of the most recent theoretical and applied work in these areas.

Editorial Reviews

Review

"If I wanted to give a good overview of the field to students who already had a course on ARIMA models and some state-space theory, then I would use Time Series and Dynamic Models." Kent D. Wall, JASA

"This book is well organized and provides many insights into time series and dynamic models....this book should be a useful resource not only for the econometrician but also for the person with no background in econometrics who is interested in the general theory of time series." Errol Caby, Technometrics

"In my opinion, it is the best general text on time series analysis available. It is a masterpiece. Organization is impeccable. Results flow seamlessly from one to the next. The writing, for the most part, is very accessible. It nicely balances mathematical formality with a hands-on, tone that tells you what is "really going on."
riskbook.com

Language Notes

Text: English (translation)
Original Language: French

See all Editorial Reviews

Product Details

• Hardcover: 688 pages
• Publisher: Cambridge University Press (January 13, 1996)
• Language: English
• ISBN-10: 0521411467
• ISBN-13: 978-0521411462
• Product Dimensions: 9.3 x 6.2 x 1.7 inches
• Shipping Weight: 2.5 pounds (View shipping rates and policies)
• Average Customer Review: 2.3 out of 5 stars  See all reviews (3 customer reviews)
• Amazon Best Sellers Rank: #4,963,833 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews

10 of 10 people found the following review helpful:

2.0 out of 5 stars Not a book for economists; particularly hard to understand, April 7, 2001

By 

Daniel Ventosa S (Marseille, France) - See all my reviews

This review is from: Time Series and Dynamic Models (Themes in Modern Econometrics) (Paperback)

When you study an econometrics PhD. In France, you can't avoid reading books of Gourieroux: it's the national hero of econometrics. In fact, when you discover all the research he has done, you have to admit it's a brilliant person. But his books aren't particularly clear. They are made for mathematicians (the only students in my classroom that appreciate this book aren't economists; the rest of us, simple mortals, use more friendly books, such as Davidson and Mackinnon, Greene, Enders and Hamilton). What can I say? It's a very complete book: seasonality is deeply treated, ARIMA models are studied profoundly and, you can even find a spectral analysis chapter and another of the Kalman filter. But they are pretty hard to understand. The notation is complex, more than necessary. There are lots of equations and little explanations. If you are a mathematician, this book will satisfy your needs; it's rigorous and fairly complete (even if the selection of topics it's not the ideal one, I think); if you are not, you should better go to Hamilton's manual. If what you want is a cookbook of time series, then buy Enders.

6 of 8 people found the following review helpful:

1.0 out of 5 stars Don't Buy It, February 28, 2002

By 

Chi Hing Ho (kansas City, MO) - See all my reviews

This review is from: Time Series and Dynamic Models (Themes in Modern Econometrics) (Paperback)

This is a crap book. Don't buy it. I have 3 books by this author, all published by CUP, and I swear I will never and ever buy his fourth book. This is the worst book I've every read. There are several common weak points of his books -- confusing symbols, lack of explanations on those necessary issues and lengthy B.S. on those simple issues. Numerous typing errors make the matter worse. This book spend a chapter talking about old fashion of moving averages, such as Spencer 7-point and 15-point. It almost goes into the field of graduation. What's the point? The chapters on ARIMA are also rubbish. My feeling is that the author lacks sense in statistics, all he saw are just mathematics. On the whole, this book is just on the wrong field, at the wrong time and with the wrong title.

4.0 out of 5 stars Only available coverage of some non-standard practical econometric time series methods, July 10, 2006

By 

J. Frain (Ireland) - See all my reviews
(REAL NAME)   

This review is from: Time Series and Dynamic Models (Themes in Modern Econometrics) (Paperback)

I have used this book as a reference for about 9 years. I like it because it covers material such as seasonality (e.g. Census X11), filtering (e.g. moving averages, Hrnderson filters) and many other items which are of interest to the time-series econometrician working outside of academia and which are not well covered in the standard econometrics time series textbooks. The book is a translation of the original french version which was published in 1990 and some items are not are perhaps a little dated. The English translation could be improved.

I would recommend the book to a practicing econometrician who wishes to extend his knowledge of time-series to some of the practical but unfashionable areas covered in the book