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| Preface | |
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| About The Author | |
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| Difference Equations | |
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| Introduction | |
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| Time-Series Models | |
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| Difference Equations and their Solutions | |
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| Solution by Iteration | |
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| An Alternative Solution Methodology | |
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| The Cobweb Model | |
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| Solving Homogeneous Difference Equations | |
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| Particular Solutions for Deterministic Processes | |
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| The Method of Undetermined Coefficients | |
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| Lag Operators | |
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| Summary | |
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| Questions and Exercises | |
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| Endnotes | |
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| Imaginary Roots and de Moivre's Theorem | |
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| Characteristic Roots in Higher-Order Equations | |
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| Stationary Time-Series Models | |
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| Stochastic Difference Equation Models | |
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| Arma Models | |
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| Stationarity | |
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| Stationarity Restrictions for an Arma (p, q) Model | |
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| The Autocorrelation Function | |
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| The Partial Autocorrelation Function | |
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| Sample Autocorrelations of Stationary Series | |
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| Box-Jenkins Model Selection | |
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| Properties of Forecasts | |
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| A Model of the Interest Rate Spread | |
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| Seasonality | |
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| Parameter Instability and Structural Change | |
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| Summary and Conclusions | |
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| Questions and Exercises | |
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| Endnotes | |
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| Estimation of an MA (1) Process | |
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| Model Selection Criteria | |
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| Modeling Volatility | |
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| Economic Time Series: The Stylized Facts | |
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| Arch Processes | |
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| Arch and Garch Estimates of Inflation | |
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| Two Examples of Garch Models | |
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| A Garch Model of Risk | |
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| The Arch-M Model | |
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| Additional Properties of Garch Processes | |
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| Maximum-Likelihood Estimation of Garch Models | |
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| Other Models of Conditional Variance | |
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| Estimating the Nyse International 100 Index | |
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| Multivariate Garch | |
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| Summary and Conclusions | |
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| Questions and Exercises | |
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| Endnotes | |
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| Multivariate Garch Models | |
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| Models With Trends | |
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| Deterministic and Stochastic Trends | |
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| Removing the Trend | |
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| Unit Roots and Regression Residuals | |
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| The Monte Carlo Method | |
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| Dickey-Fuller Tests | |
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| Examples of the Dickey-Fuller Test | |
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| Extensions of the Dickey-Fuller Test | |
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| Structural Change | |
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| Power and the Deterministic Regressors | |
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| Tests with More Power | |
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| Panel Unit Root Tests | |
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| Trends and Univariate Decompositions | |
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| Summary and Conclusions | |
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| Questions and Exercises | |
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| Endnotes | |
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| The Bootstrap | |
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| Determination of the Deterministic Regressors | |
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| Multiequation Time-Series Models | |
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| Intervention Analysis | |
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| Transfer Function Models | |
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| Estimating a Transfer Function | |
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| Limits to Structural Multivariate Estimation | |
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| Introduction to Var Analysis | |
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| Estimation and Identification | |
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| The Impulse Response Function | |
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| Testing Hypotheses | |
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| Example of a Simple Var: Terrorism and Tourism in Spain | |
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| Structural Vars | |
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| Examples of Structural Decompositions | |
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| The Blanchard-Quah Decomposition | |
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| Decomposing Real and Nominal Exchange Rates: An Example | |
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| Summary and Conclusions | |
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| Questions and Exercises | |
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| Endnotes | |
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| Cointegration and Error-Correction Models | |
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| Linear Combinations of Integrated Variables | |
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| Cointegration and Common Trends | |
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| Cointegration and Error Correction | |
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| Testing for Cointegration: The Engle-Granger Methodology | |
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| Illustrating the Engle-Granger Methodology | |
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| Cointegration and Purchasing Power Parity | |
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| Characteristic Roots, Rank, and Cointegration | |
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| Hypothesis Testing | |
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| Illustrating the Johansen Methodology | |
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| Error-Correction and ADL Tests | |
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| Comparing the Three Methods | |
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| Summary and Conclusions | |
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| Questions and Exercises | |
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| Endnotes | |
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| Characteristic Roots, Stability, and Rank | |
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| Inference on a Cointegrating Vector | |
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| Nonlinear Time-Series Models | |
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| Linear Versus Nonlinear Adjustment | |
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| Simple Extensions of the ARMA Model | |
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| Pretesting in Nonlinearity | |
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| Threshold Autoregressive Models | |
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| Extensions of the Tar Model | |
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| Three Threshold Models | |
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| Smooth-Transition Models | |
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| Other Regime Switching Models | |
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| Estimates of Star Models | |
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| Generalized Impulse Responses and Forecasting | |
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| Unit Roots and Nonlinearity | |
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| Summary and Conclusions | |
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| Questions and Exercises | |
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| Endnotes | |
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| Statistical Tables | |
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| Empirical Cumulative Distribution of the ? | |
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| Empirical Distribution of � | |
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| Critical Values for the Engle-Granger Cointegration Test | |
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| Residual-Based Cointegration Test with I(1) and I(2) Variables | |
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| Empirical Distributions of the $<sub>max</sub> and $<sub>trace</sub> Statistics | |
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| Critical Values for �<sub>1</sub> = 0 in the Error-correction Model | |
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| Critical Values for Threshold Unit Roots | |
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| References | |
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| Subject Index | |