Applied econometric time series

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.

Author Notes

About the Author:

Walter Enders is Professor and Lee Bidgood Chair of Economics and Finance at the University of Alabama. He received his doctorate in economics from Columbia University. His current research focuses on the development and application of time-series models to areas in economics and finance, including documenting the cyclic and shifting nature of terrorist attacks in response to defensive counteractions. Dr. Enders has published numerous research articles in such journals as the Review of Economics and Statistics, Quarterly Journal of Economics , and the Journal of International Economics . He has also published articles in the American Economic Review , the Journal of Business and Economic Statistics , and the American Political Science Review .

Preface	p. v
About The Author	p. viii
Chapter 1 Difference Equations	p. 1
Introduction	p. 1
1 Time-Series Models	p. 1
2 Difference Equations and their Solutions	p. 7
3 Solution by Iteration	p. 10
4 An Alternative Solution Methodology	p. 14
5 The Cobweb Model	p. 18
6 Solving Homogeneous Difference Equations	p. 22
7 Particular Solutions for Deterministic Processes	p. 31
8 The Method of Undetermined Coefficients	p. 33
9 Lag Operators	p. 39
10 Summary	p. 42
Questions and Exercises	p. 43
Endnotes	p. 45
Appendix 1.1 Imaginary Roots and de Moivre's Theorem	p. 45
Appendix 1.2 Characteristic Roots in Higher-Order Equations	p. 47
Chapter 2 Stationary Time-Series Models	p. 49
1 Stochastic Difference Equation Models	p. 49
2 Arma Models	p. 52
3 Stationarity	p. 53
4 Stationarity Restrictions for an Arma (p, q) Model	p. 57
5 The Autocorrelation Function	p. 62
6 The Partial Autocorrelation Function	p. 65
7 Sample Autocorrelations of Stationary Series	p. 69
8 Box-Jenkins Model Selection	p. 78
9 Properties of Forecasts	p. 81
10 A Model of the Interest Rate Spread	p. 89
11 Seasonality	p. 97
12 Parameter Instability and Structural Change	p. 103
13 Summary and Conclusions	p. 110
Questions and Exercises	p. 110
Endnotes	p. 116
Appendix 2.1 Estimation of an MA (1) Process	p. 116
Appendix 2.2 Model Selection Criteria	p. 118
Chapter 3 Modeling Volatility	p. 121
1 Economic Time Series: The Stylized Facts	p. 121
2 Arch Processes	p. 125
3 Arch and Garch Estimates of Inflation	p. 132
4 Two Examples of Garch Models	p. 136
5 A Garch Model of Risk	p. 141
6 The Arch-M Model	p. 143
7 Additional Properties of Garch Processes	p. 146
8 Maximum-Likelihood Estimation of Garch Models	p. 152
9 Other Models of Conditional Variance	p. 154
10 Estimating the Nyse International 100 Index	p. 158
11 Multivariate Garch	p. 165
12 Summary and Conclusions	p. 170
Questions and Exercises	p. 172
Endnotes	p. 176
Appendix 3.1 Multivariate Garch Models	p. 176
Chapter 4 Models With Trends	p. 181
1 Deterministic and Stochastic Trends	p. 181
2 Removing the Trend	p. 189
3 Unit Roots and Regression Residuals	p. 195
4 The Monte Carlo Method	p. 200
5 Dickey-Fuller Tests	p. 206
6 Examples of the Dickey-Fuller Test	p. 209
7 Extensions of the Dickey-Fuller Test	p. 215
8 Structural Change	p. 227
9 Power and the Deterministic Regressors	p. 234
10 Tests with More Power	p. 239
11 Panel Unit Root Tests	p. 244
12 Trends and Univariate Decompositions	p. 247
13 Summary and Conclusions	p. 257
Questions and Exercises	p. 258
Endnotes	p. 262
Appendix 4.1 The Bootstrap	p. 263
Appendix 4.2 Determination of the Deterministic Regressors	p. 267
Chapter 5 Multiequation Time-Series Models	p. 272
1 Intervention Analysis	p. 273
2 Transfer Function Models	p. 280
3 Estimating a Transfer Function	p. 290
4 Limits to Structural Multivariate Estimation	p. 294
5 Introduction to Var Analysis	p. 297
6 Estimation and Identification	p. 303
7 The Impulse Response Function	p. 307
8 Testing Hypotheses	p. 315
9 Example of a Simple Var: Terrorism and Tourism in Spain	p. 321
10 Structural Vars	p. 325
11 Examples of Structural Decompositions	p. 329
12 The Blanchard-Quah Decomposition	p. 338
13 Decomposing Real and Nominal Exchange Rates: An Example	p. 344
14 Summary and Conclusions	p. 347
Questions and Exercises	p. 349
Endnotes	p. 354
Chapter 6 Cointegration and Error-Correction Models	p. 356
1 Linear Combinations of Integrated Variables	p. 357
2 Cointegration and Common Trends	p. 363
3 Cointegration and Error Correction	p. 365
4 Testing for Cointegration: The Engle-Granger Methodology	p. 373
5 Illustrating the Engle-Granger Methodology	p. 377
6 Cointegration and Purchasing Power Parity	p. 3827
7 Characteristic Roots, Rank, and Cointegration	p. 385
8 Hypothesis Testing	p. 393
9 Illustrating the Johansen Methodology	p. 401
10 Error-Correction and ADL Tests	p. 405
11 Comparing the Three Methods	p. 409
Summary and Conclusions	p. 412
Questions and Exercises	p. 413
Endnotes	p. 418
Appendix 6.1 Characteristic Roots, Stability, and Rank	p. 419
Appendix 6.2 Inference on a Cointegrating Vector	p. 425
Chapter 7 Nonlinear Time-Series Models	p. 428
1 Linear Versus Nonlinear Adjustment	p. 428
2 Simple Extensions of the ARMA Model	p. 431
3 Pretesting in Nonlinearity	p. 434
4 Threshold Autoregressive Models	p. 439
5 Extensions of the Tar Model	p. 445
6 Three Threshold Models	p. 451
7 Smooth-Transition Models	p. 457
8 Other Regime Switching Models	p. 462
9 Estimates of Star Models	p. 466
10 Generalized Impulse Responses and Forecasting	p. 470
11 Unit Roots and Nonlinearity	p. 477
12 Summary and Conclusions	p. 482
Questions and Exercises	p. 483
Endnotes	p. 486
Statistical Tables	p. 488
A Empirical Cumulative Distribution of the ?	p. 488
B Empirical Distribution of ø	p. 489
C Critical Values for the Engle-Granger Cointegration Test	p. 490
D Residual-Based Cointegration Test with I(1) and I(2) Variables	p. 491
E Empirical Distributions of the $ max and $ trace Statistics	p. 492
F Critical Values for ß 1 = 0 in the Error-correction Model	p. 493
G Critical Values for Threshold Unit Roots	p. 494
References	p. 495
Subject Index	p. 503

Mevcut:*

Bound With These Titles

On Order

Özet

Özet

Author Notes

Table of Contents