Elements of Time Series Econometrics :

Kocenda, Evzen.

Elements of Time Series Econometrics : An Applied Approach. - 2nd ed. - 1 online resource (220 pages)

Intro -- CONTENTS -- 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 SERIES -- 3.1 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 ROOTS -- 3.4.1 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 TEST -- 3.7.6 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 -- 4.3.3 EXTENSIONS TO THE ENGLE-GRANGER METHODOLOGY -- 4.3.4 THE JOHANSEN METHODOLOGY -- 5. PANEL DATA AND UNIT ROOT TESTS -- 5.1 LEVIN, LIN, AND CHU PANEL UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND LIMITED COEFFICIENTS HETEROGENEITY -- 5.2. IM, PESARAN, AND SHIN UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND HETEROGENEOUS COEFFICIENTS -- 5.3 HADRI UNIT-ROOT TESTS WITH A NULL OF STATIONARITY -- 5.4 BREUER, MCNOWN, AND WALLACE TEST FOR CONVERGENCE -- 5.5 VOGELSANG TEST FOR β-CONVERGENCE -- APPENDIX A - MONTE CARLO SIMULATIONS -- APPENDIX B - STATISTICAL TABLES -- REFERENCES -- INDEX.

9788024623535


Econometrics.;Time-series analysis.


Electronic books.

HB139 -- .K64 2014eb

330.015195