Gebhard Kirchgässner

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

Gebhard Kirchgässner stellt in seiner Arbeit das Modell individuellen rationalen Verhaltens dar, wie es der modernen ökonomischen Theorie zugrunde liegt und berücksichtigt seine wissenschaftstheoretischen Grundlagen. Dabei zeigt er, wie mit Hilfe dieses Modells 'kollektives Verhalten' erklärt werden kann, und wie sich gesellschaftliche Gegebenheiten aus nicht beabsichtigten Nebenfolgen individuell rationalen Verhaltens ergeben.In der vierten Auflage wurde auch auf Aspekte eingegangen, die sich in Zusammenhang mit der Wirtschafts- und Finanzkrise ergeben haben."Das Werk des seit 1992 an der Universität St. Gallen lehrenden Gebhard Kirchgässner ist virtuos, breit angelegt, gut geschrieben und trotzdem tiefschürfend. Im deutschsprachigen Raum dürfte es das einzige Buch sein, welches sich derart umfassend mit der ökonomischen Aktionstheorie auseinandersetzt."Martin Hostettler in Schweizerische Zeitschrift für Forstwesen 160 (2009), S. 397

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

The economic model of behaviour is fundamental not only in economic theory, but also in modern approaches of other social sciences, above all in political science and law. This book provides a comprehensive treatise of the general model, its philosophical and methodological foundations and its applications in different fields. In addition to the basic model, extensions to its assumptions are examined to account for complex applications like low-cost situations with moral behaviour.

The economic model of behaviour is fundamental not only in economic theory, but also in modern approaches of other social sciences, above all in political science and law. This book provides a comprehensive treatise of the general model, its philosophical and methodological foundations and its applications in different fields. In addition to the basic model, extensions to its assumptions are examined to account for complex applications like low-cost situations with moral behaviour.