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Elements of time series econometrics. an applied approach için kapak resmi
Başlık:
Elements of time series econometrics. an applied approach
Yazar:
Kočenda, Evžen, author.
ISBN:
9788024631981
Yazar Ek Girişi:
Fiziksel Tanımlama:
220 pages : illustrations ; 24 cm.
İçerik:
Introduction; 1. the nature of time series; 1.1 description of time series; 1.2 white noise; 1.3 stationarity; 1.4 transformations of time series; 1.5 trend, seasonal and irregular patterns; 1.6 arma models of time series; 1.7 stylized facts about time series; 2. difference equations; 2.1 linear difference equations; 2.2 lag operator; 2.3 the solution of difference equations; 2.3.1 particular solution and lag operators; 2.3.2 solution by iteration; 2.3.3 homogenous solution; 2.3.4 particular solution; 2.4 stability conditions; 2.5 stability and stationarity. 3. univariate time series3.1 estimation of an arma model; 3.1.1 autocorrelation function -- acf; 3.1.2 partial autocorrelation function -- pacf; 3.1.3 q-tests; 3.1.4 diagnostics of residuals; 3.1.5 information criteria; 3.1.6 box-jenkins methodology; 3.2 trend in time series; 3.2.1 deterministic trend; 3.2.2 stochastic trend; 3.2.3 stochastic plus deterministic trend; 3.2.4 additional notes on trends in time series; 3.3 seasonality in time series; 3.3.1 removing seasonal patterns; 3.3.2 estimating seasonal patterns; 3.3.3 detecting seasonal patterns; 3.3.4 hodrick-prescott filter. 3.4 unit roots3.4.1 dickey-fuller test; 3.4.2 augmented dickey-fuller test; 3.4.3 phillips-perron test; 3.4.4 shortcomings of the standard unit root tests; 3.4.5 kpss test; 3.5 unit roots and structural change; 3.5.1 perron's test; 3.5.2 zivot and andrews' test; 3.6 detecting a structural change; 3.6.1 single structural change; 3.6.2 multiple structural change; 3.7 non-linear structure and conditional heteroskedasticity and non-linear structure; 3.7.1 conditional and unconditional expectations; 3.7.2 arch model; 3.7.3 garch model; 3.7.4 detecting conditional heteroskedasticity. 3.7.5 the bds test3.7.6 an alternative to the bds test: integration across the correlation integral; 3.7.7 identification and estimation of a garch model; 3.7.8 extensions of arch -type models; 3.7.9 multivariate (g)arch models; 3.7.10 structural breaks in volatility; 4. multiple time series; 4.1 var models; 4.1.1 structural form, reduced form, and identification; 4.1.2 stability and stationarity of var models; 4.1.3 estimation of a var model; 4.2 granger causality; 4.3 cointegration and error correction models; 4.3.1 definition of cointegration; 4.3.2 the engle-granger methodology.
Özet:
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and Europe.
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Kitap EKOBKN0008448 330.015195 KOC 2015
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