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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.
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.
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Seiten: | 409 |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9783319982816 |
| ISBN-10: | 3319982818 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-319-98281-6 |
| Autor: | Levendis, John D. |
| Auflage: | 1st ed. 2018 |
| Hersteller: |
Springer
Springer, Berlin Springer International Publishing |
| Abbildungen: | XIII, 409 p. 403 illus. |
| Maße: | 242 x 158 x 35 mm |
| Von/Mit: | John D. Levendis |
| Erscheinungsdatum: | 18.02.2019 |
| Gewicht: | 0,798 kg |
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Seiten: | 409 |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9783319982816 |
| ISBN-10: | 3319982818 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-319-98281-6 |
| Autor: | Levendis, John D. |
| Auflage: | 1st ed. 2018 |
| Hersteller: |
Springer
Springer, Berlin Springer International Publishing |
| Abbildungen: | XIII, 409 p. 403 illus. |
| Maße: | 242 x 158 x 35 mm |
| Von/Mit: | John D. Levendis |
| Erscheinungsdatum: | 18.02.2019 |
| Gewicht: | 0,798 kg |
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