Text
Applied econometric time series
The text is intended for those with some background in multiple regression analysis. I presume the reader understands the assumptions underlying the use of ordinary least squares. All of my students are familiar with the concepts correlation and covariation; they also know how to use t-tests and F-tests in a regression framework. I use terms such as mean square error, significance level, and unbiased estimate without explaining their meaning. Two chapters of the text examine multiple time-series techniques. To work through these chapters, it is necessary to know how to solve a system of equations using matrix algebra. Chapter 1, entitled “Difference Equations,” is the cornerstone of the text. In my experience, this material and a knowledge of regression analysis are sufficient to bring students to the point where they are able to read the professional journals and to embark on a serious applied study. Nevertheless, one unfortunate reader wrote, “I did everything you said in you book, and my article still got rejected.”
Some of the techniques illustrated in the text need to be explicitly programmed. Structural VARs need to be estimated using a package that has the capacity to manip- ulate matrices. Monte Carlo methods are very computer intensive. Nonlinear models need to be estimated using a package that can perform nonlinear least squares and max- imum likelihood estimation. Completely menu-driven software packages are not able to estimate every form of time-series model. As I tell my students, by the time a pro- cedure appears on the menu of an econometric software package, it is not new. To get the most from the text, you should have access to a program such as EViews, RATS, MATLAB, R, STATA, SAS, or GAUSS.
I take the term applied that appears in the title earnestly. Toward this end, I believe in teaching by induction. The method is to take a simple example and build toward more general and more complicated models. Detailed examples of each procedure are provided. Each concludes with a step-by-step summary of the stages typically employed in using that procedure. The approach is one of learning by doing.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 330. 015 195 END a | PSB lt.1 - B. Wajib | 1 |
| Penerbit | New York John Wiley & Sons., 2014 |
|---|---|
| Edisi | 4 |
| Subjek | Econometrics Time series analysis |
| ISBN/ISSN | 9781119126331 |
| Klasifikasi | 330. 015 195 |
| Deskripsi Fisik | x, 496 p. : ill. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |