Applied econometric time series/ (Registro n. 1313)

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020 ## - ISBN
ISBN 9780471230656
040 ## - Fonte da Catalogação
Fonte de catalogação BR-BrCADE
090 ## - Número de Chamada
Localização na estante 330.015195 E56a
Cutter E56a
100 10 - Autor
Autor ENDERS, Walter
245 10 - Titulo Principal
Título principal Applied econometric time series/
260 ## - Local, Editora e Data
Cidade Estados Unidos:
Editora Wiley,
Data 2004.
300 ## - Descrição Física
Número de páginas 460 p.
505 ## - Conteúdo
Conteúdo CONTENTS<br/>PREFACE<br/>ABOUT THE AUTHORS<br/><br/>Chapter 1 DEFFERENCE EQUATIONS <br/>Introduction<br/>1 Time-Series Modeis<br/>2 Difference Equations and Their Solutions <br/>3 Solution by Iteration<br/>4 An Alternative Solution Methodology<br/>5 The Cobweb Model <br/>6 Solving Homogeneous Difference Equations <br/>7 Particular Solutions for Deterministic Processes <br/>8 The Method of Undeterrnined Coefficients <br/>9 Lag Operators <br/>10 Summary <br/>Questions and Exercises <br/>Endnotes <br/>Appendix 1.1: Imaginaiy Roots and de Moivre's Theorem <br/>Appendix 1.2: Characteristic Roots in Higher-Order Equations <br/><br/>Chapter 2 STATIONARY TIME-SERIES MODELS<br/>1 Stochastic Difference Equation Modeis <br/>2 ARMA Modeis <br/>3 Stationarity <br/>4 Stationary Restrictions for an ARMA (e, q) Model <br/>5 The Autocorrelation Function <br/>6 The Partial Autocorrelation Function <br/>7 Sample Autocorrelations of Stationary Series <br/>8 Box—Jenkins Model Selection <br/>9 Properties of Forecasts <br/>10 A Model of the Producer Price index <br/>11 Seasonality <br/>12 Summary and Conciusions <br/>Questions and Exercises <br/>Endnotes <br/>Appendix 2.1: Estimation of an MA (1) Process<br/>Appendix 2.2: Model Selection Criteria<br/><br/>Chapter 3 MODELING VOLATILITY <br/>1 Economic Time Series: The Stylized Facts<br/>2 ARCH Processes <br/>3 ARCH and GARCH Estimates of Inflation <br/>4 A GARCH Model of the PPI: An Example <br/>5 A GARCH Model of Risk <br/>6 The ARCH-M Model <br/>7 Additional Properties of GARCH Processes<br/>8 Maximum Likelihood Estimation of GARCH Models <br/>9 Other Models of Conditional Variance<br/>10 Estimating the NYSE Composite Index <br/>11 Summary and Conclusions <br/>Questions and Exercises <br/>Endnotes <br/><br/>Chapter 4 MODELS WITH TREND <br/>1 Deterministic and Stochastic Trends <br/>2 Removing the Trend <br/>3 Unit Roots and Regression Residuais <br/>4 The Monte Cano Method <br/>5 Dickey—Fuller Tests <br/>6 Examples of the Dickey—Fuller Test <br/>7 Extensions of the Dickey—Fuller Test <br/>8 Structural Change<br/>9 Power and the Deterministic Regressors<br/>10 Trends and Univariate Decompositions <br/>11.Panei Unit Root Tests<br/>12 Summary and Conclusions <br/>Questions and Exercises <br/>Endnotes<br/>Appendix: The Bootstrap<br/>Endnotes<br/><br/>Chapter 5 MULTIEQUATION TIME-SERIES MODELS<br/>1 Intervention Analysis <br/>2 Transfer Function Models<br/>3 Estimating a Transfer Function <br/>4 Limits to Structural Multivariate Estimation<br/>5 Introduction to VAR Analysis <br/>6 Estimation and Identification <br/>7 The Impulse Response Function<br/>8 Testing Hypotheses<br/>9 Example of a Simple VAR: Terrorism and Tourism in Spain <br/>10 Structural VARs<br/>11 Examples of Structural Decompositions<br/>12 The Blanchard—Quah Decomposition <br/>13 Decomposmg Real and Nominal Exchange Rates: An Example<br/>14 Summaiy and Conclusions <br/>Questions and Exercises<br/>Endnotes<br/><br/>Chapter 6 COINTEGRATION AND ERROR-CORRECTION MODELS <br/>1 Linear Combinations of Integrated Variables <br/>2 Cointegration and Common Trends<br/>3 Cointegration and Error Correction<br/>4 Testing for Cointegration: The Engle—Granger Methodology<br/>5 Illustrating the Engle—Granger Methodology<br/>6 Cointegration and Purchasing Power Parity<br/>7 Characteristic Roots, Rank, and Cointegration<br/>8 Hypothesis Testing <br/>9 Illustrating the Johansen Methodology<br/>10 General-to-Specific Modeling<br/>11 Summary and Conclusions<br/>Questions and Exercises<br/>Endnotes <br/>Appendix 6.1: Inference on a Cointegrating Vector <br/>Appendix 6.2: Characteristic Roots, Stability, and Rank<br/><br/>Chapter 7 NONLINEAR TIME-SERIES MODELS <br/>1 Linear versus Nonlinear Adjustment<br/>2 Simple Extensions of the ARMA Model<br/>3 Threshold Autoregressive Modeis<br/>4 Extensions and Other Nonlinear Modeis <br/>5 Testing for Nonlinearity <br/>6 Estimates of Regime Switching Modeis <br/>7 Generalized Impulse Responses and Forecasting <br/>8 Unit Roots and Nonlinearity <br/>9Summary and Conclusions <br/>Questions and Exercises <br/>Endnotes <br/><br/>STATISTICAL TABLES <br/>REFERENCES <br/> INDEX <br/><br/><br/>
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