Text
Applied econometric time series 4th ed
I have tried to be careful about the trade-off between being complete and being concise. In deciding on which new topics to include in the text, I relied heavily on the e-mail messages I received from instructors and from students. To keep the manuscript from becoming encyclopedic, I have included a number of new topics in the Supplementary Manual. The new material in Chapter 2 discusses the important issue of combining multiple univariate forecasts so as to reduce overall forecast error variance. Chapter 3 expands the discussion of multivariate GARCH models by illustrating volatility impulse response functions. In doing so, volatility spillovers need to be analyzed in a way that is analogous to the impulse responses from a VAR. I received a surprisingly large number of questions regarding autoregressive distributed lag (ADL) models. As such, the first few parts of Chapter 5 have been rewritten so as to show the appropriate ways to properly identify and estimate ADLs. This new material complements the material in Chapter 6 involving ADLs in a cointegrated system. Chapter 7 now discusses the so-called Davies problem involving unidentified nuisance parameters under the null hypothesis. The chapter continues to discuss the issues involved with testing for multiple endogenous breaks (i.e., potential breaks occurring at an unknown date) using the Bai?Perron procedure. Moreover, since breaks can manifest themselves slowly, the process of estimating a model with a logistic break is illustrated. Some content has been moved to the website for the Fourth Edition. This content is called out in the Table of Contents as being ?online.? To locate this content, go to Wiley.com/College/Enders or to time-series.net
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| Tan 519. 5 End a ( 4th ed ) | PSB lt.dasar - Pascasarjana | 1 |
| 519. 5 END a | PSB lt.1 - B. Wajib | 1 |
| Penerbit | New York: John Wiley & Sons 2015 |
|---|---|
| Edisi | - |
| Subjek | Econometrics Time-series analysis |
| ISBN/ISSN | 9781118808566 |
| Klasifikasi | 519. 5 |
| Deskripsi Fisik | x, 485 p, 22 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |