Applied Econometric Time Series

by Enders, Walter

• ISBN13: 9780471039419
• ISBN10: 0471039411
• Format: Hardcover
• Copyright: 1995-01-01
• Publisher: John Wiley & Sons Inc

Summary

Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. Applied Econometric Times Series was among those chosen. Unique in that it covers modern time series analysis from the sole prerequisite of an introductory course in multiple regression analysis. Describes the theory of difference equations, demonstrating that they are the foundation of all time-series models with emphasis on the Box-Jenkins methodology. Considers many recent developments in time series analysis including unit root tests, ARCH models, cointegration/error-correction models, vector autoregressions and more. There are numerous examples to illustrate various techniques, many of which concern econometric models of transnational terrorism. The accompanying disk provides data for students to work with.

Table of Contents

CHAPTER 1: Difference Equations	1	(62)
1. Time-Series Models	2	(5)
2. Difference Equations and Their Solutions	7	(3)
3. Solution by Iteration	10	(6)
4. An Alternative Solution Methodology	16	(4)
5. The Cobweb Model	20	(5)
6. Solving Homogeneous Difference Equations	25	(10)
7. Finding Particular Solutions for Deterministic Processes	35	(3)
8. The Method of Undetermined Coefficients	38	(7)
9. Lag Operators	45	(3)
10. Forward-Versus Backward-Looking Solutions	48	(5)
Summary and Conclusions	53	(1)
Questions and Exercises	54	(3)
Endnotes	57	(1)
Appendix 1: Imaginary Roots and de Moivre's Theorem	57	(2)
Appendix 2: Characteristic Roots in Higher-Order Equations	59	(4)
CHAPTER 2: Stationary Time-Series Models	63	(72)
1. Stochastic Difference Equation Models	63	(4)
2. ARMA Models	67	(1)
3. Stationarity	68	(4)
4. Stationarity Restrictions for an ARMA(p,q) Model	72	(6)
5. The Autocorrelation Function	78	(4)
6. The Partial Autocorrelation Function	82	(4)
7. Sample Autocorrelations of Stationary Series	86	(9)
8. Box-Jenkins Model Selection	95	(4)
9. The Forecast Function	99	(7)
10. A Model of the WPI	106	(5)
11. Seasonality	111	(7)
Summary and Conclusions	118	(1)
Questions and Exercises	119	(9)
Endnotes	128	(1)
Appendix: Expected Values and Variance	128	(7)
CHAPTER 3: Modeling Economic Time Series: Trends and Volatility	135	(76)
1. Economic Time Series: The Stylized Facts	135	(4)
2. ARCH Processes	139	(10)
3. ARCH and GARCH Estimates of Inflation	149	(3)
4. Estimating a GARCH Model of the WPI: An Example	152	(4)
5. A GARCH Model of Risk	156	(2)
6. The ARCH-M Model	158	(4)
7. Maximum Likelihood Estimation of GARCH and ARCH-M Models	162	(4)
8. Deterministic and Stochastic Trends	166	(10)
9. Removing the Trend	176	(5)
10. Are There Business Cycles?	181	(4)
11. Stochastic Trends and Univariate Decompositions	185	(10)
Summary and Conclusions	195	(1)
Questions and Exercises	196	(8)
Endnotes	204	(2)
Appendix: Signal Extraction and Minimum Mean Square Errors	206	(5)
CHAPTER 4: Testing for Trends and Unit Roots	211	(58)
1. Unit Root Processes	212	(9)
2. Dickey-Fuller Tests	221	(4)
3. Extensions of the Dickey-Fuller Test	225	(8)
4. Examples of the Augmented Dickey-Fuller Test	233	(6)
5. Phillips-Perron Tests	239	(4)
6. Structural Change	243	(8)
7. Problems in Testing for Unit Roots	251	(9)
Summary and Conclusions	260	(1)
Questions and Exercises	261	(4)
Endnotes	265	(1)
Appendix: Phillips-Perron Test Statistics	265	(4)
CHAPTER 5: Multiequation Time-Series Models	269	(86)
1. Intervention Analysis	270	(7)
2. Transfer Function Models	277	(9)
3. Estimating a Transfer Function	286	(5)
4. Limits to Structural Multivariate Estimation	291	(3)
5. Introduction to VAR Analysis	294	(6)
6. Estimation and Identification	300	(5)
7. The Impulse Response Function	305	(7)
8. Hypothesis Testing	312	(4)
9. Example of a Simple VAR: Terrorism and Tourism in Spain	316	(4)
10. Structural VARs	320	(4)
11. Examples of Structural Decompositions	324	(7)
12. The Blanchard and Quah Decomposition	331	(7)
13. Decomposing Real and Nominal Exchange Rate Movements: An Example	338	(4)
Summary and Conclusions	342	(1)
Questions and Exercises	343	(9)
Endnotes	352	(3)
CHAPTER 6: Cointegration and Error-Correction Models	355	(64)
1. Linear Combinations of Integrated Variables	356	(7)
2. Cointegration and Common Trends	363	(2)
3. Cointegration and Error Correction	365	(8)
4. Testing for Cointegration: The Engle-Granger Methodology	373	(4)
5. Illustrating the Engle-Granger Methodology	377	(4)
6. Cointegration and Purchasing-Power Parity	381	(4)
7. Characteristic Roots, Rank, and Cointegration	385	(8)
8. Hypothesis Testing in a Cointegration Framework	393	(3)
9. Illustrating the Johansen Methodology	396	(4)
10. Generalized Purchasing-Power Parity	400	(4)
Summary and Conclusions	404	(1)
Questions and Exercises	405	(5)
Endnotes	410	(2)
Appendix	412	(7)
STATISTICAL TABLES	419	(4)
A. Empirical Distributions of the (XXX) Statistics	419	(1)
B. Empirical Distributions of the (XXX) Statistics	420	(1)
C. Empirical Distributions of the Lambda(max) and Lambda(trace) Statistics	421	(2)
REFERENCES	423	(4)
AUTHOR INDEX	427	(2)
SUBJECT INDEX	429