Time Series Econometrics : Learning Through Replication Hardback
by John D. Levendis
Part of the Springer Texts in Business and Economics series
Hardback
Description
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics.
They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system.
Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser.
Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews.
They  then turn to models of conditional volatility, replicating papers by Bollerslev.
Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises.
While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Information
-
Only a few left - usually despatched within 24 hours
- Format:Hardback
- Pages:409 pages, 403 Illustrations, black and white; XIII, 409 p. 403 illus.
- Publisher:Springer International Publishing AG
- Publication Date:18/02/2019
- Category:
- ISBN:9783319982816
Other Formats
- Hardback from £80.59
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Information
-
Only a few left - usually despatched within 24 hours
- Format:Hardback
- Pages:409 pages, 403 Illustrations, black and white; XIII, 409 p. 403 illus.
- Publisher:Springer International Publishing AG
- Publication Date:18/02/2019
- Category:
- ISBN:9783319982816
