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Applied Econometric Times Series, 3rd Edition
John Wiley and Sons Ltd, Nov 2009, Pages: 517
Enders continues to provide business professionals with an accessible introduction to time-series analysis. He clearly shows them how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using the latest techniques. The third edition includes new discussions on parameter instability and structural breaks as well as out-of-sample forecasting methods. New developments in unit root test and cointegration tests are covered. Multivariate GARCH models are also presented. In addition, several statistical examples have been updated with real-world data to help business professionals understand the relevance of the material
New to this edition:
- NEW discussion of parameter instability and structural breaks including tests for endogenous breaks.
- NEW coverage developments in cointegration tests including the error-correction and ADL tests.
- Coverage on new developments in unit root tests including the LM tests and the DF-GLS tests.
- Improved discussion of out-of-sample forecasting methods including forecast comparisons with nested models.
- Expanded coverage of multivariate GARCH models to include VECH, BEK and DCC specifications.
- NEW developments in cointegration tests including the error-correction and ADL tests.
- Many updated statistical examples using real-world data.
Features:
- Unparalleled Coverage of Nonlinear Time-series Models: An entire chapter is devoted to the estimation and testing of various nonlinear time-series models. Readers are taught to perform multiple-step-ahead out-of-sample forecasts, obtain the generalized impulse response function, and use regression-based techniques.
- Real-world data and detailed examples from macroeconomics, agricultural economics, international finance, transnational terrorism, and current international finance literature.
- Step-by-step approach to time-series estimation and procedural stages.
- A comprehensive, full chapter on ARCH and GARCH models
- Learn by doing: Exposure to procedures appearing in econometric software packages, such as EVIEWS, MICROSIT, PC-GIVE, RATS, SAS, SHAZAM, and STATA, and assistance in matrix programming (MATLAB and GAUSS).
- Numerous illustrations of key concepts.
- Substantive number of questions and empirical exercises that enable students to practice the techniques covered in the text.
- Continued emphasis on forecasting and on difference equations as the foundation of all time-series models.
- Data sets available on the Book Companion Website.
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