Applied econometric time series/

por ENDERS, Walter
[ Livros ] Publicado por : Wiley, (Estados Unidos:) Detalhes físicos: 460 p. ISBN:9780471230656. Ano: 2004 Tipo de Material: Livros
Tags desta biblioteca: Sem tags desta biblioteca para este título. Faça o login para adicionar tags.
Localização atual Classificação Exemplar Situação Previsão de devolução Código de barras Reservas do item
Biblioteca Agamenon Magalhães
330.015195 E56a (Percorrer estante) 1 Emprestado 24.05.2022 2019-0115
Total de reservas: 0

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


Não há comentários para este material.

Acesse sua conta para postar um comentário.

Clique em uma imagem para visualizá-la no visualizador de imagem

    Biblioteca Agamenon Magalhães|(61) 3221-8416| biblioteca@cade.gov.br| Setor de Edifícios de Utilidade Pública Norte – SEPN, Entrequadra 515, Conjunto D, Lote 4, Edifício Carlos Taurisano, térreo