Applied econometric time series:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2004
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | Wiley series in probability and statistics
|
| Schlagwörter: | |
| Links: | http://www.loc.gov/catdir/description/wiley037/2003053787.html http://www.loc.gov/catdir/toc/wiley032/2003053787.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016982404&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references (p. 445-451) and index |
| Umfang: | XIV, 460 S. graph. Darst. |
| ISBN: | 9780471230656 0471451738 |
Internformat
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| 650 | 4 | |a Économétrie | |
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Datensatz im Suchindex
| _version_ | 1819321379909009408 |
|---|---|
| adam_text | CONTENTS
PREFACE viii
ABOUT THE A UTHORS x
Chapteri DIFFERENCE EQUATIONS 1
Introduction 1
1 Time-Series Models 1
2 Difference Equations and Their Solutions 6
3 Solution by Iteration 9
4 An Alternative Solution Methodology 14
5 The Cobweb Model 17
6 Solving Homogeneous Difference Equations 22
7 Particular Solutions for Deterministic Processes 30
8 The Method of Undetermined Coefficients 33
9 Lag Operators 38
10 Summary 41
Questions and Exercises 42
Endnotes 44
Appendix 1.1: Imaginary Roots and de Moivre s Theorem 44
Appendix 1.2: Characteristic Roots in Higher-Order Equations 46
Chapter 2 STATIONARY TIME-SERIES MODELS 48
1 Stochastic Difference Equation Models 48
2 ARMA Models 51
3 Stationarity 52
4 Stationary Restrictions for an ARMA (p, q) Model 56
5 The Autocorrelation Function 60
6 The Partial Autocorrelation Function 65
7 Sample Autocorrelations of Stationary Series 67
8 Box-Jenkins Model Selection 76
XÜ CONTENTS
9 Properties of Forecasts 79
10 A Model of the Producer Price Index 87
11 Seasonality 93
12 Summary and Conclusions 99
Questions and Exercises 100
Endnotes 104
Appendix 2.1: Estimation of an MA( 1) Process 104
Appendix 2.2: Model Selection Criteria 105
Chapter 3 MODELING VOLATILITY 108
1 Economic Time Series: The Stylized Facts 108
2 ARCH Processes 112
3 ARCH and GARCH Estimates of Inflation 120
4 A GARCH Model ofthePPI: An Example 123
5 A GARCH Model of Risk 127
6 The ARCH-M Model 129
7 Additional Properties of GARCH Processes 132
8 Maximum Likelihood Estimation of GARCH Models 138
9 Other Models of Conditional Variance 140
10 Estimating the NYSE Composite Index 143
11 Summary and Conclusions 150
Questions and Exercises 151
Endnotes 155
Chapter 4 MODELS WITH TREND 156
1 Deterministic and Stochastic Trends 157
2 Removing the Trend 164
3 Unit Roots and Regression Residuais 170
4 The Monte Carlo Method 175
5 Dickey-Fuller Tests 181
6 Examplesofthe Dickey-Fuller Test 185
7 Extensionsof the Dickey-Fuller Test 189
8 Structural Change 200
9 Power and the Deterministic Regressors 207
10 Trends and Univariate Decompositions 215
11 Panel Unit Root Tests 225
12 Summary and Conclusions 229
CONTENTS XÜi
Questions and Exercises 230
Endnotes 233
Appendix: The Bootstrap 234
Endnotes 238
ChapterS MULTIEQUATION TIME-SERIES MODELS 239
1 Intervention Analysis 240
2 Transfer Function Models 247
3 Estimating a Transfer Function 257
4 Limits to Structural Multivariate Estimation 261
5 Introduction to VAR Analysis 264
6 Estimation and Identification 269
7 The Impulse Response Function 272
8 Testing Hypotheses 281
9 Example of a Simple VAR: Terrorism and Tourism in Spain 287
10 Structural VARs 291
11 Examples of Structural Decompositions 295
12 The Blanchard-Quah Decomposition 301
13 Decomposing Real and Nominal Exchange Rates: An Example 307
14 Summary and Conclusions 310
Questions and Exercises 311
Endnotes 317
Chapter 6 COINTEGRATION AND ERROR-CORRECTION
MODELS 319
1 Linear Combinations of Integrated Variables 320
2 Cointegration and Common Trends 325
3 Cointegration and Error Correction 328
4 Testing for Cointegration: The Engle-Granger Methodology 335
5 Illustrating the Engle-Granger Methodology 339
6 Cointegration and Purchasing Power Parity 344
7 Characteristic Roots, Rank, and Cointegration 347
8 Hypothesis Testing 354
9 Illustrating the Johansen Methodology 362
10 General-to-Specific Modeling 366
11 Summary and Conclusions 372
Questions and Exercises 373
Endnotes 377
XJV CONTENTS
Appendix 6.1: Inference on a Cointegrating Vector 378
Appendix 6.2: Characteristic Roots, Stability, and Rank 381
Chapter 7 NONLINEAR T1ME-SERIES MODELS 387
1 Linear versus Nonlinear Adjustment 387
2 Simple Extensions of the ARMA Model 390
3 Threshold Autoregressive Models 393
4 Extensions and Other Nonlinear Models 399
5 Testing for Nonlinearity 406
6 Estimates of Regime Switching Models 414
7 Generalized Impulse Responses and Forecasting 423
8 Unit Roots and Nonlinearity 429
9 Summary and Conclusions 434
Questions and Exercises 435
Endnotes 438
STATISTICAL TABLES 439
REFERENCES 445
INDEX 452
|
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| indexdate | 2024-12-20T13:24:53Z |
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| isbn | 9780471230656 0471451738 |
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| spellingShingle | Enders, Walter Applied econometric time series Série chronologique Économétrie Econometrics Time-series analysis Ökonometrie (DE-588)4132280-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4067486-1 (DE-588)4123623-3 |
| title | Applied econometric time series |
| title_auth | Applied econometric time series |
| title_exact_search | Applied econometric time series |
| title_full | Applied econometric time series Walter Enders |
| title_fullStr | Applied econometric time series Walter Enders |
| title_full_unstemmed | Applied econometric time series Walter Enders |
| title_short | Applied econometric time series |
| title_sort | applied econometric time series |
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