logo资料库

Applied Econometrics Time Series 4th edition.pdf

发布时间：2022-06-08 发布人：admin 分类：说明书 资料大小：6.94M 资料格式：pdf 举报 版权申诉
第1页 / 共498页
第2页 / 共498页
第3页 / 共498页
第4页 / 共498页
第5页 / 共498页
第6页 / 共498页
第7页 / 共498页
第8页 / 共498页
资料共498页，剩余部分请下载后查看
    Cover
    Title Page
    Copyright
    Contents
    Preface
    About the Author
    Chapter 1 Difference Equations
    Introduction
    1 Time-Series Models
    2 Difference Equations and Their Solutions
    3 Solution by Iteration
    Iteration without an Initial Condition
    Reconciling the Two Iterative Methods
    Nonconvergent Sequences
    4 An Alternative Solution Methodology
    The Solution Methodology
    Generalizing the Method
    5 The Cobweb Model
    6 Solving Homogeneous Difference Equations
    Stability Conditions
    Higher Order Systems
    7 Particular Solutions for Deterministic Processes
    8 The Method of Undetermined Coefficients
    Higher Order Systems
    A Solved Problem
    9 Lag Operators
    Lag Operators in Higher Order Systems
    10 Summary
    Questions and Exercises
    Chapter 2 Stationary Time-Series Models
    1 Stochastic Difference Equation Models
    2 ARMA Models
    3 Stationarity
    Stationarity Restrictions for an AR(1) Process
    4 Stationarity Restrictions for an ARMA (p, q) Model
    Stationarity Restrictions for the Autoregressive Coefficients
    5 The Autocorrelation Function
    The Autocorrelation Function of an AR(2) Process
    The Autocorrelation Function of an MA(1) Process
    The Autocorrelation Function of an ARMA(1,1) Process
    6 The Partial Autocorrelation Function
    7 Sample Autocorrelations of Stationary Series
    Model Selection Criteria
    Estimation of an AR(1) Model
    Estimation of an ARMA(1, 1) Model
    Estimation of an AR(2) Model
    8 Box-Jenkins Model Selection
    Parsimony
    Stationarity and Invertibility
    Goodness of Fit
    Postestimation Evaluation
    9 Properties of Forecasts
    Higher-Order Models
    Forecast Evaluation
    10 A Model of the Interest Rate Spread
    Out-of-Sample Forecasts
    11 Seasonality
    Models of Seasonal Data
    Seasonal Differencing
    12 Parameter Instability and Structural Change
    Testing for Structural Change
    Endogenous Breaks
    Parameter Instability
    An Example of a Break
    13 Combining Forecasts
    Optimal Weights
    Example Using the Spread
    14 Summary and Conclusions
    Questions and Exercises
    Chapter 3 Modeling Volatility
    1 Economic Time Series: The Stylized Facts
    2 ARCH and GARCH Processes
    ARCH Processes
    The GARCH Model
    3 ARCH and GARCH Estimates of Inflation
    Engle’s Model of U.K. Inflation
    Bollerslev’s Estimates of U.S. Inflation
    4 Three Examples of GARCH Models
    A GARCH Model of Oil Prices
    Volatility Moderation
    A GARCH Model of the Spread
    Formal Tests for ARCH Errors
    Alternative Estimates of the Model
    5 A GARCH Model of Risk
    6 The ARCH-M Model
    Implementation
    7 Additional Properties of GARCH Processes
    Properties of GARCH(1, 1) Error Processes
    Assessing the Fit
    Diagnostic Checks for Model Adequacy
    Forecasting the Conditional Variance
    8 Maximum Likelihood Estimation of GARCH Models
    9 Other Models of Conditional Variance
    The IGARCH Model
    Models with Explanatory Variables
    Models with Asymmetry: TARCH and EGARCH
    Testing for Leverage Effects
    Nonnormal Errors
    10 Estimating the NYSE U.S. 100 Index
    The Model of the Mean
    Testing for GARCH errors
    Alternative Estimates of the Model
    Diagnostic Checking
    The Asymmetric Models
    11 Multivariate GARCH
    Updating the Study
    12 Volatility Impulse Responses
    An Example
    13 Summary and Conclusions
    Questions and Exercises
    Chapter 4 Models with Trend
    1 Deterministic and Stochastic Trends
    The Random Walk Model
    The Random Walk Plus Drift Model
    Generalizations of the Stochastic Trend Model
    2 Removing the Trend
    Differencing
    Detrending
    Difference versus Trend Stationary Models
    Are There Business Cycles?
    The Trend in Real GDP
    3 Unit Roots and Regression Residuals
    4 The Monte Carlo Method
    Monte Carlo Experiments
    Example of the Monte Carlo Method
    Generating the Dickey–Fuller Distribution
    5 Dickey-Fuller Tests
    An Example
    6 Examples of the Dickey-Fuller Test
    Quarterly Real U.S. GDP
    Unit Roots and Purchasing Power Parity
    7 Extensions of the Dickey-Fuller Test
    Selection of the Lag Length
    The Test with MA Components
    Multiple Roots
    Seasonal Unit Roots
    8 Structural Change
    Perron’s Test for Structural Change
    Perron’s Test and Real Output
    Tests with Simulated Data
    9 Power and the Deterministic Regressors
    Power
    Determination of the Deterministic Regressors
    10 Tests with More Power
    An Example
    11 Panel Unit Root Tests
    Limitations of the Panel Unit Root Test
    12 Trends and Univariate Decompositions
    The General ARIMA(p, 1,q) Model
    The Hodrick–Prescott Decomposition
    13 Summary and Conclusions
    Questions and Exercises
    Chapter 5 Multiequation Time-Series Models
    1 Intervention Analysis
    Estimating the Effect of Metal Detectors on Skyjackings
    Estimating the Effect of the Libyan Bombing
    2 ADLs and Transfer Functions
    ADL Models
    The Cross-Covariances of a Second-Order Process
    Higher-Order Input Processes
    Identification and Estimation
    3 An ADL of Terrorism in Italy
    4 Limits to Structural Multivariate Estimation
    Multivariate Macroeconometric Models: Some Historical Background
    5 Introduction to VAR Analysis
    Stability and Stationarity
    Dynamics of a VAR Model
    6 Estimation and Identification
    Forecasting
    Identification
    7 The Impulse Response Function
    Confidence Intervals and Impulse Responses
    Variance Decomposition
    8 Testing Hypotheses
    Granger Causality
    Granger Causality and Money Supply Changes
    9 Example of a Simple VAR: Domestic and Transnational Terrorism
    Empirical Methodology
    Empirical Results
    10 Structural VARs
    Structural Decompositions
    11 Examples of Structural Decompositions
    12 Overidentified Systems
    Two Examples
    13 The Blanchard-Quah Decomposition
    The Blanchard and Quah Results
    14 Decomposing Real and Nominal Exchange Rates: An Example
    Limitations of the Technique
    15 Summary and Conclusions
    Questions and Exercises
    Chapter 6 Cointegration and Error-Correction Models
    1 Linear Combinations of Integrated Variables
    2 Cointegration and Common Trends
    3 Cointegration and Error Correction
    The n-Variable Case
    4 Testing for Cointegration: The Engle-Granger Methodology
    5 Illustrating the Engle-Granger Methodology
    The Engle–Granger Procedure with I(2) Variables
    6 Cointegration and Purchasing Power Parity
    7 Characteristic Roots, Rank, and Cointegration
    8 Hypothesis Testing
    Lag Length and Causality Tests
    To Difference or Not to Difference
    Tests on Multiple Cointegrating Vectors
    The Test in the Presence of I(2) Variables
    9 Illustrating the Johansen Methodology
    10 Error-Correction and ADL Tests
    Cointegration with Weak Exogeneity
    Inference on the Cointegrating Vector
    11 Comparing the Three Methods
    The Engle–Granger Methodology
    The Johansen Methodology
    The Error-Correction Methodology
    12 Summary and Conclusions
    Questions and Exercises
    Chapter 7 Nonlinear Models and Breaks
    1 Linear Versus Nonlinear Adjustment
    2 Simple Extensions of the ARMA Model
    The GAR Model
    The Bilinear Model
    An Example
    3 Testing for Nonlinearity
    The ACF and the McLeod–Li Test
    The RESET
    Other Portmanteau Tests
    Lagrange Multiplier Tests
    Two Examples
    Inference with Unidentified Nuisance Parameters
    4 Threshold Autoregressive Models
    The Basic Threshold Model
    Estimation
    Unknown Threshold
    5 Extensions of the TAR Model
    Selecting the Delay Parameter
    Multiple Regimes
    More on Estimating the Threshold
    Threshold Regression Models
    Pretesting for a TAR Model
    TAR Models and Endogenous Breaks
    6 Three Threshold Models
    The Unemployment Rate
    Asymmetric Monetary Policy
    Capital Stock Adjustment with Multiple Thresholds
    7 Smooth Transition Models
    Pretests for STAR Models
    8 Other Regime Switching Models
    The Artificial Neural Network
    The Markov Switching Model
    9 Estimates of STAR Models
    An LSTAR Model
    The Real Exchange Rate as an ESTAR Process
    10 Generalized Impulse Responses and Forecasting
    Nonlinear Estimates of GNP Growth
    Impulse Responses
    Terrorist Incidents with Casualties
    11 Unit Roots and Nonlinearity
    An Example
    12 More on Endogenous Structural Breaks
    Two Examples
    Nonlinear Breaks
    Estimates of a Logistic Break
    13 Summary and Conclusions
    Questions and Exercises
    Index
    EULA
    Trim Size: 6in x 9in Enders bindex.tex V1 - 08/27/2014 6:48pm Page 486
    Trim Size: 6in x 9in Enders ffirs.tex V1 - 08/21/2014 11:43am Page i FOURTH EDITION APPLIED ECONOMETRIC TIME SERIES WALTER ENDERS University of Alabama
    Trim Size: 6in x 9in Enders ffirs.tex V1 - 09/02/2014 12:46pm Page ii Vice President and Executive Publisher Executive Editor Sponsoring Editor Project Editor Editorial Assistant Photo Editor Cover Designer Associate Production Manager Senior Production Editor Production Management Services Cover Image Credit George Hoffman Joel Hollenbeck Marian Provenzano Brian Baker Jacqueline Hughes Billy Ray Kenji Ngieng Joyce Poh Jolene Ling Laserwords Mmdi/Stone/Getty Images This book was set in 10/12 Times by Laserwords and printed and bound by Lightning Source. Founded in 1807, John Wiley & Sons, Inc. has been a valued source of knowledge and understanding for more than 200 years, helping people around the world meet their needs and fulfill their aspirations. Our company is built on a foundation of principles that include responsibility to the communities we serve and where we live and work. In 2008, we launched a Corporate Citizenship Initiative, a global effort to address the environmental, social, economic, and ethical challenges we face in our business. Among the issues we are addressing are carbon impact, paper specifications and procurement, ethical conduct within our business and among our vendors, and community and charitable support. For more information, please visit our website: www.wiley.com/go/citizenship. Copyright © 2015, 2010, 2009, 1998 John Wiley & Sons, Inc. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except as permitted under Sections 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923 (Web site: www.copyright.com). Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030-5774, (201) 748-6011, fax (201) 748-6008, or online at: www.wiley.com/go/permissions. Evaluation copies are provided to qualified academics and professionals for review purposes only, for use in their courses during the next academic year. These copies are licensed and may not be sold or transferred to a third party. Upon completion of the review period, please return the evaluation copy to Wiley. Return instructions and a free of charge return shipping label are available at: www.wiley.com/go/returnlabel. If you have chosen to adopt this textbook for use in your course, please accept this book as your complimentary desk copy. Outside of the United States, please contact your local sales representative. Library of Congress Cataloging-in-Publication Data Enders, Walter, 1948- Applied econometric time series / Walter, University of Alabama. – Fourth edition. pages cm Includes index. ISBN 978-1-118-80856-6 (pbk.) 1. Econometrics. 2. Time-series analysis. I. Title. HB139.E55 2015 330.01’519233–dc23 Printed in the United States of America 10 9 8 7 6 5 4 3 2 1 2014013428
    Trim Size: 6in x 9in Enders ffirs.tex V1 - 08/21/2014 11:43am Page iii To Lola
    Trim Size: 6in x 9in Enders ftoc.tex V1 - 08/21/2014 11:47am Page iv CONTENTS PREFACE vii ABOUT THE AUTHOR x CHAPTER 1 DIFFERENCE EQUATIONS 1 1 7 1 10 Introduction 1 Time-Series Models 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 Undetermined Coefficients 9 Lag Operators 10 Summary 40 43 14 18 22 31 34 Questions and Exercises 44 CHAPTER 2 STATIONARY TIME-SERIES MODELS 47 55 47 51 50 1 Stochastic Difference Equation Models 2 ARMA Models 3 Stationarity 4 Stationarity Restrictions for an ARMA (p, q) Model 60 5 The Autocorrelation Function 6 The Partial Autocorrelation Function 7 Sample Autocorrelations of Stationary Series 8 Box–Jenkins Model Selection 79 9 Properties of Forecasts 10 A Model of the Interest Rate Spread 11 Seasonality 12 Parameter Instability and Structural Change 13 Combining Forecasts 14 Summary and Conclusions 109 102 112 96 64 67 88 76 Questions and Exercises 113 iv
    Trim Size: 6in x 9in Enders ftoc.tex V1 - 08/21/2014 11:47am Page v CHAPTER 3 MODELING VOLATILITY 118 CONTENTS v 141 134 130 123 1 Economic Time Series: The Stylized Facts 2 ARCH and GARCH Processes 3 ARCH and GARCH Estimates of Inflation 4 Three Examples of GARCH Models 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 U.S. 100 Index 165 11 Multivariate GARCH 12 Volatility Impulse Responses 13 Summary and Conclusions 154 158 172 174 143 118 146 152 Questions and Exercises 176 CHAPTER 4 MODELS WITH TREND 181 189 206 200 1 Deterministic and Stochastic Trends 2 Removing the Trend 3 Unit Roots and Regression Residuals 4 The Monte Carlo 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 Tests with More Power 11 Panel Unit Root Tests 12 Trends and Univariate Decompositions 13 Summary and Conclusions 238 243 227 254 181 195 210 215 235 247 Questions and Exercises 255 CHAPTER 5 MULTIEQUATION TIME-SERIES MODELS 259 267 277 261 1 Intervention Analysis 2 ADLs and Transfer Functions 3 An ADL of Terrorism in Italy 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: Domestic and Transnational Terrorism 309 10 Structural VARs 11 Examples of Structural Decompositions 12 Overidentified Systems 285 290 281 294 303 321 313 317
    Trim Size: 6in x 9in Enders ftoc.tex V1 - 08/21/2014 11:47am Page vi vi CONTENTS 13 The Blanchard–Quah Decomposition 14 Decomposing Real and Nominal Exchange Rates: An Example 15 Summary and Conclusions 335 325 331 Questions and Exercises 337 CHAPTER 6 COINTEGRATION AND ERROR-CORRECTION MODELS 343 360 344 Illustrating the Engle–Granger Methodology 1 Linear Combinations of Integrated Variables 351 2 Cointegration and Common Trends 353 3 Cointegration and Error Correction 4 Testing for Cointegration: The Engle–Granger Methodology 5 6 Cointegration and Purchasing Power Parity 7 Characteristic Roots, Rank, and Cointegration 8 Hypothesis Testing 9 10 Error-Correction and ADL Tests 11 Comparing the Three Methods 12 Summary and Conclusions Illustrating the Johansen Methodology 400 380 364 370 373 389 393 397 Questions and Exercises 401 CHAPTER 7 NONLINEAR MODELS AND BREAKS 407 408 410 413 420 1 Linear Versus Nonlinear Adjustment 2 Simple Extensions of the ARMA Model 3 Testing for Nonlinearity 4 Threshold Autoregressive Models 5 Extensions of the TAR Model 6 Three Threshold Models 7 Smooth Transition Models 8 Other Regime Switching Models 9 Estimates of STAR Models 10 Generalized Impulse Responses and Forecasting 11 Unit Roots and Nonlinearity 12 More on Endogenous Structural Breaks 13 Summary and Conclusions 433 427 439 445 449 461 466 474 453 Questions and Exercises 475 INDEX 479 REFERENCES (ONLINE) ENDNOTES (ONLINE) STATISTICAL TABLES (ONLINE)
    分享到：
    赞 收藏

    相关推荐

    资料库

    课程资源

    共收录17145份资料，累计13个分类，关注成员有19位，主要包括：PHP,网络管理,网页制作,Java,.Net,数据库,3G/移动开发,C/C++,游戏开发,嵌入式,讲义,软件测试,专业指导

    热门标签

    PHP 网络管理 网页制作 Java .Net 数据库 3G/移动开发 C/C++ 游戏开发 嵌入式 讲义 软件测试 专业指导

    最新资料