Applied econometric time series/
por ENDERS, Walter
[ Livros ] Publicado por : Wiley, (Estados Unidos:) Detalhes físicos: 460 p. ISBN:9780471230656. Ano: 2004 Tipo de Material: LivrosLocalização atual | Classificação | Exemplar | Situação | Previsão de devolução | Código de barras | Reservas do item |
---|---|---|---|---|---|---|
Biblioteca Agamenon Magalhães | 330.015195 E56a (Percorrer estante) | 1 | Disponível | 2019-0115 |
CONTENTS
PREFACE
ABOUT THE AUTHORS
Chapter 1 DEFFERENCE EQUATIONS
Introduction
1 Time-Series Modeis
2 Difference Equations and Their Solutions
3 Solution by Iteration
4 An Alternative Solution Methodology
5 The Cobweb Model
6 Solving Homogeneous Difference Equations
7 Particular Solutions for Deterministic Processes
8 The Method of Undeterrnined Coefficients
9 Lag Operators
10 Summary
Questions and Exercises
Endnotes
Appendix 1.1: Imaginaiy Roots and de Moivre's Theorem
Appendix 1.2: Characteristic Roots in Higher-Order Equations
Chapter 2 STATIONARY TIME-SERIES MODELS
1 Stochastic Difference Equation Modeis
2 ARMA Modeis
3 Stationarity
4 Stationary Restrictions for an ARMA (e, q) Model
5 The Autocorrelation Function
6 The Partial Autocorrelation Function
7 Sample Autocorrelations of Stationary Series
8 Box—Jenkins Model Selection
9 Properties of Forecasts
10 A Model of the Producer Price index
11 Seasonality
12 Summary and Conciusions
Questions and Exercises
Endnotes
Appendix 2.1: Estimation of an MA (1) Process
Appendix 2.2: Model Selection Criteria
Chapter 3 MODELING VOLATILITY
1 Economic Time Series: The Stylized Facts
2 ARCH Processes
3 ARCH and GARCH Estimates of Inflation
4 A GARCH Model of the PPI: An Example
5 A GARCH Model of Risk
6 The ARCH-M Model
7 Additional Properties of GARCH Processes
8 Maximum Likelihood Estimation of GARCH Models
9 Other Models of Conditional Variance
10 Estimating the NYSE Composite Index
11 Summary and Conclusions
Questions and Exercises
Endnotes
Chapter 4 MODELS WITH TREND
1 Deterministic and Stochastic Trends
2 Removing the Trend
3 Unit Roots and Regression Residuais
4 The Monte Cano Method
5 Dickey—Fuller Tests
6 Examples of the Dickey—Fuller Test
7 Extensions of the Dickey—Fuller Test
8 Structural Change
9 Power and the Deterministic Regressors
10 Trends and Univariate Decompositions
11.Panei Unit Root Tests
12 Summary and Conclusions
Questions and Exercises
Endnotes
Appendix: The Bootstrap
Endnotes
Chapter 5 MULTIEQUATION TIME-SERIES MODELS
1 Intervention Analysis
2 Transfer Function Models
3 Estimating a Transfer Function
4 Limits to Structural Multivariate Estimation
5 Introduction to VAR Analysis
6 Estimation and Identification
7 The Impulse Response Function
8 Testing Hypotheses
9 Example of a Simple VAR: Terrorism and Tourism in Spain
10 Structural VARs
11 Examples of Structural Decompositions
12 The Blanchard—Quah Decomposition
13 Decomposmg Real and Nominal Exchange Rates: An Example
14 Summaiy and Conclusions
Questions and Exercises
Endnotes
Chapter 6 COINTEGRATION AND ERROR-CORRECTION MODELS
1 Linear Combinations of Integrated Variables
2 Cointegration and Common Trends
3 Cointegration and Error Correction
4 Testing for Cointegration: The Engle—Granger Methodology
5 Illustrating the Engle—Granger Methodology
6 Cointegration and Purchasing Power Parity
7 Characteristic Roots, Rank, and Cointegration
8 Hypothesis Testing
9 Illustrating the Johansen Methodology
10 General-to-Specific Modeling
11 Summary and Conclusions
Questions and Exercises
Endnotes
Appendix 6.1: Inference on a Cointegrating Vector
Appendix 6.2: Characteristic Roots, Stability, and Rank
Chapter 7 NONLINEAR TIME-SERIES MODELS
1 Linear versus Nonlinear Adjustment
2 Simple Extensions of the ARMA Model
3 Threshold Autoregressive Modeis
4 Extensions and Other Nonlinear Modeis
5 Testing for Nonlinearity
6 Estimates of Regime Switching Modeis
7 Generalized Impulse Responses and Forecasting
8 Unit Roots and Nonlinearity
9Summary and Conclusions
Questions and Exercises
Endnotes
STATISTICAL TABLES
REFERENCES
INDEX
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