Time Series Econometrics

Learning Through Replication

By: John D. Levendis

Write A Review

eText | 31 January 2019

At a Glance

Format
ePUB

eText

$209.00

or 4 interest-free payments of $52.25 with

Instant online reading in your Booktopia eTextbook Library *

Why choose an eTextbook?

Instant Access *

Purchase and read your book immediately

Read Aloud

Listen and follow along as Bookshelf reads to you

Study Tools

Built-in study tools like highlights and more

* eTextbooks are not downloadable to your eReader or an app and can be accessed via web browsers only. You must be connected to the internet and have no technical issues with your device or browser that could prevent the eTextbook from operating.

In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results.

This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger.

The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.