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Applied Time Series Modelling and Forecasting

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ISBN-10: 0470844434

ISBN-13: 9780470844434

Edition: 2002

Authors: Richard Harris, Robert Sollis

List price: $79.95
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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: 6.73" wide x 9.51" long x 0.81" tall
Weight: 1.166
Language: English

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

Introduction and Overview
Some Initial Concepts
Outline of the Book
Short- and Long-run Models
Long-run Models
Stationary and Non-stationary Time Series
Spurious Regressions
Short-run Models
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
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
Programming in SHAZAM.
Modelling the Short-run Multivariate System
Estimating the Long-run Cointegration Relationships
Parsimonious VECM
Conditional PVECM
Structural Modelling
Structural Macroeconomic Modelling
Panel Data Models and Cointegration
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
Multivariate GARCH
Estimation and Testing
An Empirical Application of ARCH and GARCH Models
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