Time Series Econometrics - Learning Through Replication Levendis John D.Pevná vazba
Time Series Econometrics - Learning Through Replication Levendis John D.Pevná vazba In this book, the authors reject the theorem-proof approach as much as possible, and emphasize the practical…
Specifikacia Time Series Econometrics - Learning Through Replication Levendis John D.Pevná vazba
Time Series Econometrics - Learning Through Replication Levendis John D.Pevná vazba
In this book, the authors reject the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. 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. 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.
They then turn to models of conditional volatility, replicating papers by Bollerslev. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. 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.
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