Applied Econometric Time Series

Applied Econometric Time Series
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Autor: Walter Enders
ISBN 10: 9780470505397
ISBN 13: 9780470505397
Edición: 3a del 2010
Editorial: Wiley
Precio: $200 000
Estado: EN STOCK
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Descripción

Content

Part 1. Difference Equations

1. Time-Series Models

2. Difference Equations and Their Solutions

3. Solution by Iteration

4. An Alternative Solution Methodology

5. The Cobweb Model

6. Solving Homogeneous Difference Equations

7. Finding Particular Solutions for Deterministic Processes

8. The Method of Undetermined Coefficients

9. Lag Operators

 Summary and Conclusions

Questions and Exercises

Endnotes

Appendix 1: Imaginary Roots and de Moivre’s Theorem

Appendix 2: Characteristic Roots in Higher-Order Equations

Part 2 Stationary Time-Series Models

1. Stochastic Difference Equation Models

2. ARMA Models

3. Stationarity

4. Stationarity Restrictions for an ARMA(p, q) Model

5. The Autocorrelation Function

6. The Partial Autocorrelation Function

7. Sample Autocorrelations of Stationary Series

8. Box–Jenkins Model Selection

9. Properties of Forecasts

10. A Model of the Interest Rate Spread

11. Seasonality

12. Parameter Instability and Structural Change

Summary and Conclusions

Questions and Exercises

Endnotes

Appendix 1: Estimation of an MA(1) Process

Appendix 2: Model Selection Criteria

Part 3 Modeling Volatility

1. Economic Time Series: The Stylized Facts

2. ARCH Processes

3. ARCH and GARCH Estimates of Inflation

4. Two Examples of GARCH Models

5. A GARCH Model of Risk

6. The ARCH-M Model

7. Additional Properties of GARCH Processes

8. Maximum Likelihood Estimation of GARCH Models

9. Other Models of Conditional Variance

10. Estimating the NYSE International 100 Index

11. Multivariate GARCH

Summary and Conclusions

Questions and Exercises

Endnotes

Appendix 1: Multivariate GARCH Models

Part 4 Models With Trend

1. Deterministic and Stochastic Trends

2. Removing the Trend

 3. Unit Roots and Regression Residuals

4. The Monte Carlo Method

5. Dickey–Fuller Tests

6. Examples of the ADF Test

7. Extensions of the Dickey-Fuller Test

8. Structural Change 9. Power and the Deterministic Regressors

10. Tests with More Power

11. Panel Unit Root Tests

12. Trends and Univariate Decompositions

Summary and Conclusions

Questions and Exercises

Endnotes

Appendix 1: The Bootstrap

Part 5. Multiequation Time-Series Models

1. Intervention Analysis

2. Transfer Function Models

3. Estimating a Transfer Function

4. Limits to Structural Multivariate Estimation

5. Introduction to VAR Analysis

6. Estimation and Identification

7. The Impulse Response Function

8. Testing Hypothesis

9. Example of a Simple VAR: Terrorism and Tourism in Spain

10. Structural VARs

11. Examples of Structural Decompositions

12. The Blanchard and Quah Decomposition

13. Decomposing Real and Nominal Exchange Rate Movements: An Example

ummary and Conclusions

Questions and Exercises

Endnotes

Part 6 Cointegration and Error-Correction Models

1. Linear Combinations of Integrated Variables

2. Cointegration and Common Trends

 3. Cointegration and Error Correction

4. Testing for Cointegration: The Engle–Granger Methodology

5. Illustrating the Engle-Granger Methodology

6. Cointegration and Purchasing-Power Parity

7. Characteristic Roots, Rank, and Cointegration

8. Hypothesis Testing

9. Illustrating the Johansen Methodology

10. Error-Correction and ADL Tests

11. Comparing the Three Methods

Summary and Conclusions

Questions and Exercises

Endnotes

Appendix 1: Characteristic Roots. Stability and Rank

Appendix 2: Inference on a Cointegrating Vector

Part 7 Nonlinear Time-Series Models

1. Linear Versus Nonlinear Adjustment

2. Simple Extensions of the ARMA Model

3. Regime Switching Models

4. Testing For Nonlinearity

5. Estimates of Regime Switching Models

6. Generalized Impulse Responses and Forecasting

7. Unit Roots and Nonlinearity

Summary and Conclusions

Questions and Exercises

Endnotes

STATISTICAL TABLES

A. Empirical Distributions of the t Statistics

B. Empirical Distribution of F

C. Critical Values for the Engle-Granger Cointegration Test

D. Residual Based Cointegration Test with I(1) and I(2) Variables

E. Empirical Distributions of the lmax and ltrace Statistics

F. Critical Values for Threshold Unit Roots

REFERENCES

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