Applied Econometric Times Series 3rd Edition
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Applied Econometric Times Series 3rd Edition
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Author : Walter Enders
language : en
Publisher:
Release Date : 2009
Applied Econometric Times Series 3rd Edition written by Walter Enders and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Industrial management categories.
Enders continues to provide business professionals with an accessible introduction to time-series analysis. He clearly shows them how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using the latest techniques. The third edition includes new discussions on parameter instability and structural breaks as well as out-of-sample forecasting methods. New developments in unit root test and cointegration tests are covered. Multivariate GARCH models are also presented. In addition, several statistical examples have been updated with real-world data to help business professionals understand the relevance of the material.
Time Series Econometrics
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Author : John D. Levendis
language : en
Publisher: Springer Nature
Release Date : 2023-12-23
Time Series Econometrics written by John D. Levendis and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-12-23 with Business & Economics categories.
Revised and updated for the second edition, this textbook allows students to work through classic texts in economics and finance, using the original data and replicating their results. In this book, the author rejects the theorem-proof approach as much as possible, and emphasizes 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 & Newbold, and Nelson & Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot & Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. Finally, students estimate static and dynamic panel data models, replicating papers by Thompson, and Arellano & Bond. 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. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this book. What makes this book useful is that it provides numerous worked out examples along with basic concepts. It is a fresh, no-nonsense, practical approach that students will love when they start learning time series econometrics. I recommend this book strongly as a study guide for students who look for hands-on learning experience." --Professor Sokbae "Simon" Lee, Columbia University, Co-Editor of Econometric Theory and Associate Editor of Econometrics Journal.
Introduction To Modern Time Series Analysis
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Author : Gebhard Kirchgässner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-10-08
Introduction To Modern Time Series Analysis written by Gebhard Kirchgässner and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-08 with Business & Economics categories.
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Essentials Of Time Series Econometrics
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Author : Rajat Chopra
language : en
Publisher: Educohack Press
Release Date : 2025-02-20
Essentials Of Time Series Econometrics written by Rajat Chopra and has been published by Educohack Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-02-20 with Science categories.
"Essentials of Time Series Econometrics" explores the fundamental principles, methodologies, and practical applications of time series analysis in economics, finance, and related fields. Designed for students, researchers, and practitioners, this guide covers both theoretical foundations and practical techniques used to analyze temporal data and make informed decisions. We cover a wide range of topics, including basic concepts such as stationarity and autocorrelation, as well as advanced techniques like machine learning approaches, Bayesian analysis, and high-frequency data analysis. Each chapter provides clear explanations of key concepts, methodologies, and mathematical principles. Real-world examples and case studies illustrate the application of time series analysis in various domains. Hands-on exercises and practical assignments reinforce understanding and develop analytical skills. Contributions from leading experts ensure readers benefit from the latest research findings. A companion website offers additional resources, including datasets, code examples, and supplementary materials. This book is ideal for students, researchers, and practitioners looking to build a solid foundation in time series econometrics or apply advanced techniques to real-world problems.
Introduction To Time Series Analysis
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Author : Mark Pickup
language : en
Publisher: SAGE Publications
Release Date : 2014-10-15
Introduction To Time Series Analysis written by Mark Pickup and has been published by SAGE Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-15 with Social Science categories.
Introducing time series methods and their application in social science research, this practical guide to time series models is the first in the field written for a non-econometrics audience. Giving readers the tools they need to apply models to their own research, Introduction to Time Series Analysis, by Mark Pickup, demonstrates the use of—and the assumptions underlying—common models of time series data including finite distributed lag; autoregressive distributed lag; moving average; differenced data; and GARCH, ARMA, ARIMA, and error correction models. “This volume does an excellent job of introducing modern time series analysis to social scientists who are already familiar with basic statistics and the general linear model.” —William G. Jacoby, Michigan State University
Introduction To Time Series Analysis
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Author : Vikas Rathi
language : en
Publisher: Educohack Press
Release Date : 2025-02-20
Introduction To Time Series Analysis written by Vikas Rathi and has been published by Educohack Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-02-20 with Science categories.
"Introduction to Time Series Analysis" is a comprehensive guide exploring the world of time series data, blending theoretical insights with practical applications. Time series analysis is crucial across disciplines like economics, finance, engineering, and environmental science, helping us understand past patterns, forecast future trends, and make informed decisions. We cater to students, researchers, and practitioners seeking a deep understanding of time series analysis. Covering a range of topics from foundational concepts to advanced techniques, we ensure readers gain a holistic view of the subject. With clear explanations, illustrative examples, and real-world case studies, this book equips readers with the knowledge and skills needed to tackle complex time series data effectively. The book provides a solid theoretical foundation in time series analysis, covering topics such as time series decomposition, forecasting methods, and advanced modeling techniques. Emphasis is placed on practical applications, with real-world examples and case studies illustrating concepts and methodologies. The text is written in clear and accessible language, suitable for readers with varying expertise, and acknowledges the interdisciplinary nature of time series analysis, exploring its applications across different fields. Whether you're a student, researcher, or practitioner, "Introduction to Time Series Analysis" offers valuable insights and practical guidance to harness the power of time series data for informed decision-making.
Elements Of Time Series Econometrics An Applied Approach
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Author : Evžen Kočenda
language : en
Publisher: Karolinum Press
Release Date : 2014-03-01
Elements Of Time Series Econometrics An Applied Approach written by Evžen Kočenda and has been published by Karolinum Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-01 with Business & Economics categories.
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into four major sections. The first section, "The Nature of Time Series?, gives an introduction to time series analysis. The second section, "Difference Equations?, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, "Univariate Time Series?, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, "Multiple Time Series?, deals with time series models of multiple interrelated variables. Appendices contain an introduction to simulation techniques and statistical tables.
Time Series Analysis For The Social Sciences
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Author : Janet M. Box-Steffensmeier
language : en
Publisher: Cambridge University Press
Release Date : 2014-12-22
Time Series Analysis For The Social Sciences written by Janet M. Box-Steffensmeier and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-22 with Mathematics categories.
This book provides instruction and examples of the core methods in time series econometrics, drawing from several main fields of the social sciences.
Interrupted Time Series Analysis
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Author : David McDowall
language : en
Publisher:
Release Date : 2019
Interrupted Time Series Analysis written by David McDowall and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Business & Economics categories.
Interrupted Time Series Analysis develops a comprehensive set of models and methods for drawing causal inferences from time series. It provides example analyses of social, behavioral, and biomedical time series to illustrate a general strategy for building AutoRegressive Integrated Moving Average (ARIMA) impact models. Additionally, the book supplements the classic Box-Jenkins-Tiao model-building strategy with recent auxiliary tests for transformation, differencing, and model selection. Not only does the text discuss new developments, including the prospects for widespread adoption of Bayesian hypothesis testing and synthetic control group designs, but it makes optimal use of graphical illustrations in its examples. With forty completed example analyses that demonstrate the implications of model properties, Interrupted Time Series Analysis will be a key inter-disciplinary text in classrooms, workshops, and short-courses for researchers familiar with time series data or cross-sectional regression analysis but limited background in the structure of time series processes and experiments.
Design And Analysis Of Time Series Experiments
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Author : Richard McCleary
language : en
Publisher: Oxford University Press
Release Date : 2017-05-11
Design And Analysis Of Time Series Experiments written by Richard McCleary and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-11 with Social Science categories.
Design and Analysis of Time Series Experiments presents the elements of statistical time series analysis while also addressing recent developments in research design and causal modeling. A distinguishing feature of the book is its integration of design and analysis of time series experiments. Readers learn not only how-to skills but also the underlying rationales for design features and analytical methods. ARIMA algebra, Box-Jenkins-Tiao models and model-building strategies, forecasting, and Box-Tiao impact models are developed in separate chapters. The presentation of the models and model-building assumes only exposure to an introductory statistics course, with more difficult mathematical material relegated to appendices. Separate chapters cover threats to statistical conclusion validity, internal validity, construct validity, and external validity with an emphasis on how these threats arise in time series experiments. Design structures for controlling the threats are presented and illustrated through examples. The chapters on statistical conclusion validity and internal validity introduce Bayesian methods, counterfactual causality, and synthetic control group designs. Building on the earlier time series books by McCleary and McDowall, Design and Analysis of Time Series Experiments includes recent developments in modeling, and considers design issues in greater detail than does any existing work. Drawing examples from criminology, economics, education, pharmacology, public policy, program evaluation, public health, and psychology, the text is addressed to researchers and graduate students in a wide range of behavioral, biomedical and social sciences. It will appeal to those who want to conduct or interpret time series experiments, as well as to those interested in research designs for causal inference.