Applied Econometric Times Series

Beschreibung

Accessible & Modern Techniques for Time-Series Analysis Assuming only a basic understanding of multiple regression analysis, this classic introduction to time-series analysis shows how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using modern techniques. Numerous real-world examples from fields ranging from agricultural economics to transnational terrorism further illustrate the various techniques. This new edition reflects both sound structure and recent advances in time-series econometrics, such as out-of-sample forecasting techniques, nonlinear time-series models, Monte Carlo analysis, and bootstrapping. Features: * New discussion of parameter instability and structural breaks including tests for endogenous breaks. * New coverage of developments in cointegration tests and in unit root tests. * Improved discussions on out-of-sample forecasting methods and multivariate GARCH models. * Numerous illustrations of key concepts and detailed example using real-world data. * Step-by-step approach to time-series estimation. * Additional questions and empirical exercises that enable students to practice the techniques covered in the test. Data sets are available on the text's companion Web site. * Emphasizes difference equations as the foundation of all time-series models.
Enders continues to provide business professionals with an accessible introduction to time-series analysis. He clearly shows them how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using the latest techniques. The third edition includes new discussions on parameter instability and structural breaks as well as out-of-sample forecasting methods. New developments in unit root test and cointegration tests are covered. Multivariate GARCH models are also presented. In addition, several statistical examples have been updated with real-world data to help business professionals understand the relevance of the material.

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Walter Enders

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Econometrics Economics Volkswirtschaftslehre Zeitreihenanalyse Ökonometrie

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