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Applied Time Series Modelling and Forecasting

ISBN-10: 0470844434
ISBN-13: 9780470844434
Edition: 2002
List price: $79.95 Buy it from $19.57
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Description: This book covers time series modeling and forecasting for econometrics and finance students. This new edition has been simplified for more ease of use and includes new chapters and substantial important revisions.

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Book details

List price: $79.95
Copyright year: 2002
Publisher: John Wiley & Sons, Incorporated
Publication date: 6/2/2003
Binding: Paperback
Pages: 316
Size: 6.75" wide x 9.75" long x 1.00" tall
Weight: 1.166
Language: English

This book covers time series modeling and forecasting for econometrics and finance students. This new edition has been simplified for more ease of use and includes new chapters and substantial important revisions.

Richard Harris is author of several top-selling Hidden guides including "Hidden Cancun & the Yucatan" & "Hidden Colorado". He lives in Santa Fe, NM.

Preface
Introduction and Overview
Some Initial Concepts
Forecasting
Outline of the Book
Short- and Long-run Models
Long-run Models
Stationary and Non-stationary Time Series
Spurious Regressions
Cointegration
Short-run Models
Conclusion
Testing for Unit Roots
The Dickey-Fuller Test
Augmented Dickey-Fuller Test
Power and Level of Unit Root Tests
Structural Breaks and Unit Root Tests
Seasonal Unit Roots
Structural Breaks and Seasonal Unit Root Tests
Periodic Integration and Unit Root-testing
Conclusion on Unit Root Tests
Cointegration in Single Equations
The Engle-Granger (EG) Approach
Testing for Cointegration with a Structural Break
Alternative Approaches
Problems with the Single Equation Approach
Estimating the Short-run Dynamic Model
Seasonal Cointegration
Periodic Cointegration
Asymmetric Tests for Cointegration
Conclusion
Cointegration in Multivariate Systems
The Johansen Approach
Testing the Order of Integration of the Variables
Formulation of the Dynamic Model
Testing for Reduced Rank
Deterministic Components in the Multivariate Model
Testing of Weak Exogeneity and VECM with Exogenous I (l) Variables
Testing for Linear Hypotheses on Cointegration Relations
Testing for Unique Cointegration Vectors
Joint Tests of Restrictions on� and� Seasonal Unit Roots
Seasonal Cointegration
Conclusions
Programming in SHAZAM.
Modelling the Short-run Multivariate System
Introduction
Estimating the Long-run Cointegration Relationships
Parsimonious VECM
Conditional PVECM
Structural Modelling
Structural Macroeconomic Modelling
Panel Data Models and Cointegration
Introduction
Panel Data and Modelling Techniques
Panel Unit Root Tests
Testing for Cointegration in Panels
Estimating Panel Cointegration Models
Conclusion on Testing for Unit Roots and Cointegration in Panel Data
Modelling and Forecasting Financial Times Series
Introduction
ARCH and GARCH
Multivariate GARCH
Estimation and Testing
An Empirical Application of ARCH and GARCH Models
ARCH-M
Asymmetric GARCH Models
Integrated and Fractionally Integrated GARCH Models
Conditional Heteroscedasticity, Unit Roots and Cointegration
Forecasting with GARCH Models
Further Methods for Forecast Evaluation
Conclusions on Modelling and Forecasting Financial Time Series
Appendix: Cointegration Analysis Using the Johansen Technique: A Practitioner's Guide to PcGive 10.1.
Statistical Appendix
References
Index

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