Time Series Econometrics: Learning Through Replication

Description

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. Front Matter ....Pages i-xiii Introduction (John D. Levendis)....Pages 1-10 ARMA(p,q) Processes (John D. Levendis)....Pages 11-46 Model Selection in ARMA(p,q) Processes (John D. Levendis)....Pages 47-80 Stationarity and Invertibility (John D. Levendis)....Pages 81-99 Non-stationarity and ARIMA(p,d,q) Processes (John D. Levendis)....Pages 101-122 Seasonal ARMA(p,q) Processes (John D. Levendis)....Pages 123-138 Unit Root Tests (John D. Levendis)....Pages 139-170 Structural Breaks (John D. Levendis)....Pages 171-196 ARCH, GARCH and Time-Varying Variance (John D. Levendis)....Pages 197-261 Vector Autoregressions I: Basics (John D. Levendis)....Pages 263-310 Vector Autoregressions II: Extensions (John D. Levendis)....Pages 311-341 Cointegration and VECMs (John D. Levendis)....Pages 343-382 Conclusion (John D. Levendis)....Pages 383-387 Back Matter ....Pages 389-409