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APPLIED ECONOMETRIC TIME SERIES

 

 

Walter ENDERS

 

Fiyatı: 190$ + KDV

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INDEX:
  • Difference Equations
    • Time Series  Models
    • Difference Equations and Their Solutions
    • Solution by Iteration
    • An Alternative Solution Methodology
    • The Cobweb Model
    • Solving Homegeneous Difference Equations
    • Finding Particular  Solutions for Deterministic Processes
    • The Method of Undetermined Coefficients
    • Lag Operators
    • Forward Versus Backward-Looking Solutions
  • Stationary Time-Series Models
    • Stochastic Difference Equation Models
    • ARMA Models
    • Stationarity
    • Stationarity Restrictions for an ARMA(p,q) Model
    • The Autocorrelation Function
    • The Partial Autocorrelation Function
    • Sample Autocorrelations of Stationary Series
    • Box-Jenkins Model Selection
    • The Forecast Function
    • A Model of the WPI
    • Seasonality
  • Modelling Economic Time Series: Trend and Volatility
    • Economic Time Series: The Stylized Facts
    • ARCH Processes
    • ARCH and GARCH Estimates of Inflation
    • Estimating a GARCH Model of the WPI: An Example
    • A GARCH Model of Risk
    • The ARCH-M Model
    • Maximum Likelihood Estimation of GARCH and ARCH-M Models
    • Deterministic and Stochastic Trends
    • Removing the Trend
    • Are There Bussiness Cycles?
    • Stochastic Trends and Univariate Decompositions
  • Testing for the Trends and Unit Roots
    • Unit Root Processes
    • Dickey-Fuller Tests
    • Extentions of the Dickey-Fuller Test
    • Phillips-Perron Tests
    • Structural Change
    • Problems in Testing for Unit Roots
  • Multiequation Time-Series Models
    • Intervetion Analysis
    • Transfer Function Models
    • Estimating a Transfer Function
    • Limits to Structural Multivariate Estimation
    • Introduction to VAR Analysis
    • Estimation and Identification
    • The Impulse Response Function
    • Hypothesis Testing
    • Example of a Simple VAR: Terrorism and Tourism in Spain
    • Structural VARs
    • Examples of Structural Decompositions
    • The Blanchard and Quah Decomposition
    • Decomposing Real and Nominal Exchange Rate  Movements   : An Example
  • Cointegration and Errror-Correction Models
    • Linear Combinations of Integrated Variables
    • Cointegration and Common Trends
    • Cointegration and Errror Correction
    • Testing for Cointegration: The Engle-Granger Methodology
    • Illustrating Engle-Granger Methodology
    • Cointegration and Purchasing-Power Parity
    • Characteristic Roots, Rank, and Cointegration
    • Hypothesis Testing in a Cointegration Framework
    • Illustrating the Johansen Methodology
    • Generalized Purchasing-Power Parity