Applied Econometric Time Series 4th_Edition by Enders

ABOUT THE AUTHOR x
CHAPTER 1 DIFFERENCE EQUATIONS 1
Introduction 1
1 Time-SeriesModels 1
2 DifferenceEquationsandTheirSolutions 7
3 SolutionbyIteration 10
4 AnAlternativeSolutionMethodology 14
5 TheCobwebModel 18
6 SolvingHomogeneousDifferenceEquations 22
7 ParticularSolutionsforDeterministicProcesses 31
8 TheMethodofUndeterminedCoefficients 34
9 LagOperators 40
10 Summary 43
Questions and Exercises 44
CHAPTER 2 STATIONARY TIME-SERIES MODELS 47
1 StochasticDifferenceEquationModels 47
2 ARMA Models 50
3 Stationarity 51
4 Stationarity Restrictions for an ARMA (p, q) Model 55
5 TheAutocorrelationFunction 60
6 ThePartialAutocorrelationFunction 64
7 SampleAutocorrelationsofStationarySeries 67
8 Box–JenkinsModelSelection 76
9 PropertiesofForecasts 79
10 A Model of the Interest Rate Spread 88
11 Seasonality 96
12 Parameter Instability and Structural Change 102
13 Combining Forecasts 109
14 Summary and Conclusions 112
CHAPTER 3 MODELING VOLATILITY 118
1 EconomicTimeSeries:TheStylizedFacts 118
2 ARCHandGARCHProcesses 123
3 ARCH and GARCH Estimates of Inflation 130
4 ThreeExamplesofGARCHModels 134
5 AGARCHModelofRisk 141
6 The ARCH-M Model 143
7 Additional Properties of GARCH Processes 146
8 Maximum Likelihood Estimation of GARCH Models 152
9 OtherModelsofConditionalVariance 154
10 Estimating the NYSE U.S. 100 Index 158
11 Multivariate GARCH 165
12 Volatility Impulse Responses 172
13 Summary and Conclusions 174
Questions and Exercises 176
CHAPTER 4 MODELS WITH TREND 181
1 DeterministicandStochasticTrends 181
2 RemovingtheTrend 189
3 Unit Roots and Regression Residuals 195
4 The Monte Carlo Method 200
5 Dickey–FullerTests 206
6 ExamplesoftheDickey–FullerTest 210
7 ExtensionsoftheDickey–FullerTest 215
8 Structural Change 227
9 Power and the Deterministic Regressors 235
10 Tests with More Power 238
11 Panel Unit Root Tests 243
12 Trends and Univariate Decompositions 247
13 Summary and Conclusions 254
Questions and Exercises 255
CHAPTER 5 MULTIEQUATION TIME-SERIES MODELS 259
1 Intervention Analysis 261
2 ADLsandTransferFunctions 267
3 An ADL of Terrorism in Italy 277
4 Limits to Structural Multivariate Estimation 281
5 IntroductiontoVARAnalysis 285
6 EstimationandIdentification 290
7 The Impulse Response Function 294
8 TestingHypotheses 303
9 Example of a Simple VAR: Domestic and Transnational Terrorism 309
10 Structural VARs 313
11 Examples of Structural Decompositions 317
12 Overidentified Systems 321