Applied Econometric Times Series, 3rd Edition

by Walter Enders (University of Alabama )

• ISBN13: 9780470505397
• ISBN10: 0470505397
• Edition: 3rd
• Format: Hardcover
• Copyright: 2009-11-01
• Publisher: Wiley

Summary

Enders continues to provide business professionals with an accessible introduction to time-series analysis. He clearly shows them how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using the latest techniques. The third edition includes new discussions on parameter instability and structural breaks as well as out-of-sample forecasting methods. New developments in unit root test and cointegration tests are covered. Multivariate GARCH models are also presented. In addition, several statistical examples have been updated with real-world data to help business professionals understand the relevance of the material.

Author Biography

About the Author:

Walter Enders is Professor and Lee Bidgood Chair of Economics and Finance at the University of Alabama. He received his doctorate in economics from Columbia University. His current research focuses on the development and application of time-series models to areas in economics and finance, including documenting the cyclic and shifting nature of terrorist attacks in response to defensive counteractions. Dr. Enders has published numerous research articles in such journals as the Review of Economics and Statistics, Quarterly Journal of Economics, and the Journal of International Economics. He has also published articles in the American Economic Review, the Journal of Business and Economic Statistics, and the American Political Science Review.

Table of Contents

Preface	p. v
About The Author	p. viii
Difference Equations	p. 1
Introduction	p. 1
Time-Series Models	p. 1
Difference Equations and their Solutions	p. 7
Solution by Iteration	p. 10
An Alternative Solution Methodology	p. 14
The Cobweb Model	p. 18
Solving Homogeneous Difference Equations	p. 22
Particular Solutions for Deterministic Processes	p. 31
The Method of Undetermined Coefficients	p. 33
Lag Operators	p. 39
Summary	p. 42
Questions and Exercises	p. 43
Endnotes	p. 45
Imaginary Roots and de Moivre's Theorem	p. 45
Characteristic Roots in Higher-Order Equations	p. 47
Stationary Time-Series Models	p. 49
Stochastic Difference Equation Models	p. 49
Arma Models	p. 52
Stationarity	p. 53
Stationarity Restrictions for an Arma (p, q) Model	p. 57
The Autocorrelation Function	p. 62
The Partial Autocorrelation Function	p. 65
Sample Autocorrelations of Stationary Series	p. 69
Box-Jenkins Model Selection	p. 78
Properties of Forecasts	p. 81
A Model of the Interest Rate Spread	p. 89
Seasonality	p. 97
Parameter Instability and Structural Change	p. 103
Summary and Conclusions	p. 110
Questions and Exercises	p. 110
Endnotes	p. 116
Estimation of an MA (1) Process	p. 116
Model Selection Criteria	p. 118
Modeling Volatility	p. 121
Economic Time Series: The Stylized Facts	p. 121
Arch Processes	p. 125
Arch and Garch Estimates of Inflation	p. 132
Two Examples of Garch Models	p. 136
A Garch Model of Risk	p. 141
The Arch-M Model	p. 143
Additional Properties of Garch Processes	p. 146
Maximum-Likelihood Estimation of Garch Models	p. 152
Other Models of Conditional Variance	p. 154
Estimating the Nyse International 100 Index	p. 158
Multivariate Garch	p. 165
Summary and Conclusions	p. 170
Questions and Exercises	p. 172
Endnotes	p. 176
Multivariate Garch Models	p. 176
Models With Trends	p. 181
Deterministic and Stochastic Trends	p. 181
Removing the Trend	p. 189
Unit Roots and Regression Residuals	p. 195
The Monte Carlo Method	p. 200
Dickey-Fuller Tests	p. 206
Examples of the Dickey-Fuller Test	p. 209
Extensions of the Dickey-Fuller Test	p. 215
Structural Change	p. 227
Power and the Deterministic Regressors	p. 234
Tests with More Power	p. 239
Panel Unit Root Tests	p. 244
Trends and Univariate Decompositions	p. 247
Summary and Conclusions	p. 257
Questions and Exercises	p. 258
Endnotes	p. 262
The Bootstrap	p. 263
Determination of the Deterministic Regressors	p. 267
Multiequation Time-Series Models	p. 272
Intervention Analysis	p. 273
Transfer Function Models	p. 280
Estimating a Transfer Function	p. 290
Limits to Structural Multivariate Estimation	p. 294
Introduction to Var Analysis	p. 297
Estimation and Identification	p. 303
The Impulse Response Function	p. 307
Testing Hypotheses	p. 315
Example of a Simple Var: Terrorism and Tourism in Spain	p. 321
Structural Vars	p. 325
Examples of Structural Decompositions	p. 329
The Blanchard-Quah Decomposition	p. 338
Decomposing Real and Nominal Exchange Rates: An Example	p. 344
Summary and Conclusions	p. 347
Questions and Exercises	p. 349
Endnotes	p. 354
Cointegration and Error-Correction Models	p. 356
Linear Combinations of Integrated Variables	p. 357
Cointegration and Common Trends	p. 363
Cointegration and Error Correction	p. 365
Testing for Cointegration: The Engle-Granger Methodology	p. 373
Illustrating the Engle-Granger Methodology	p. 377
Cointegration and Purchasing Power Parity	p. 3827
Characteristic Roots, Rank, and Cointegration	p. 385
Hypothesis Testing	p. 393
Illustrating the Johansen Methodology	p. 401
Error-Correction and ADL Tests	p. 405
Comparing the Three Methods	p. 409
Summary and Conclusions	p. 412
Questions and Exercises	p. 413
Endnotes	p. 418
Characteristic Roots, Stability, and Rank	p. 419
Inference on a Cointegrating Vector	p. 425
Nonlinear Time-Series Models	p. 428
Linear Versus Nonlinear Adjustment	p. 428
Simple Extensions of the ARMA Model	p. 431
Pretesting in Nonlinearity	p. 434
Threshold Autoregressive Models	p. 439
Extensions of the Tar Model	p. 445
Three Threshold Models	p. 451
Smooth-Transition Models	p. 457
Other Regime Switching Models	p. 462
Estimates of Star Models	p. 466
Generalized Impulse Responses and Forecasting	p. 470
Unit Roots and Nonlinearity	p. 477
Summary and Conclusions	p. 482
Questions and Exercises	p. 483
Endnotes	p. 486
Statistical Tables	p. 488
Empirical Cumulative Distribution of the ?	p. 488
Empirical Distribution of ø	p. 489
Critical Values for the Engle-Granger Cointegration Test	p. 490
Residual-Based Cointegration Test with I(1) and I(2) Variables	p. 491
Empirical Distributions of the $max and $trace Statistics	p. 492
Critical Values for ß1 = 0 in the Error-correction Model	p. 493
Critical Values for Threshold Unit Roots	p. 494
References	p. 495
Subject Index	p. 503
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