Applied Econometric Times Series (Applied Econometric Time Series) - Softcover

Enders, Walter

Softcover

ISBN 10: 0471111635 ISBN 13: 9780471111634

Publisher: John Wiley & Sons, 1995

Synopsis

Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. Applied Econometric Times Series was among those chosen.

Unique in that it covers modern time series analysis from the sole prerequisite of an introductory course in multiple regression analysis. Describes the theory of difference equations, demonstrating that they are the foundation of all time–series models with emphasis on the Box–Jenkins methodology. Considers many recent developments in time series analysis including unit root tests, ARCH models, cointegration/error–correction models, vector autoregressions and more. There are numerous examples to illustrate various techniques, many of which concern econometric models of transnational terrorism. The accompanying disk provides data for students to work with.

About this title

Synopsis

This advanced text for a course on time series econometrics introduces modern time series analyses through the use of wide-ranging examples and applications. Providing a balance between macro and microeconomic applications, the book covers recent work in non-stationary time series that has only been published in journals, including unit-root test, ARCH models and co-integration/error-correction models. VAR analysis has been added as well as examples from different sources; the examples include Exchange Rate determination, the theory of purchasing power parity, and transnational terrorism.

Edition details

• Publisher: John Wiley & Sons
• Publication date: 1995
• Language: English
• ISBN 10: 0471111635
• ISBN 13: 9780471111634
• Binding: Paperback
• Number of pages: 448