Applied Econometric Time Series, 2nd Edition / Edition 2

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Overview

Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. The first edition of Applied Econometric Time Series was among those chosen.

This new edition reflects recent advances in time-series econometrics, such as out-of-sample forecasting techniques, non-linear time-series models, Monte Carlo analysis, and bootstrapping. Numerous examples from fields ranging from agricultural economics to transnational terrorism illustrate various techniques.

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Editorial Reviews

Booknews
A review of recent advances in time series analysis, providing a balance between macro and microeconomic application and using examples drawn from agricultural economics, international finance, and transnational terrorism. Emphasizes the importance of difference equations, and assumes some background in multiple regression analysis. Software packages such as RATS, SAS, or SHAZAM are necessary to work through the exercises. A data disk with computer programs accompanies the Instructor's Manual. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

  • ISBN-13: 9780471230656
  • Publisher: Wiley, John & Sons, Incorporated
  • Publication date: 7/25/2003
  • Series: Wiley Series in Probability and Statistics Series , #425
  • Edition description: Subsequent
  • Edition number: 2
  • Pages: 480
  • Product dimensions: 14.37 (w) x 9.19 (h) x 1.58 (d)

Meet the Author

Walter Enders, is the Lee Bidgood Chair of Economics at the University of Alabama. He received his doctorate in economics from Columbia University in New York. His research focuses on time-series econometrics with a special emphasis on the dynamic aspects of terrorism. He has published over fifty articles including those in the American Economic Review, the American Political Science Review, and the Journal of Business and Economics Statistics.
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Table of Contents

Preface.

About the Authors.

Chapter 1. Difference Equations.

Chapter 2. Stationary Time-Series Models.

Chapter 3. Modeling Volatility.

Chapter 4. Models with Trend..

Chapter 5. Multiequation Time-Series Models.

Chapter 6. Cointegration and Error-Correction Models.

Chapter 7. Nonlinear Time-Series Models.

Statistical Tables.

References.

Index.

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Sort by: Showing all of 2 Customer Reviews
  • Anonymous

    Posted October 12, 2009

    Not very good

    Honestly, I didn't like the book. It aims to be an introduction but it's certainly not. Very difficult to understand, the complications are often needless, notations confusing. And there is no systematic explanations: the text jumps from one point to another.

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  • Anonymous

    Posted March 3, 2003

    problem

    I had come across a problem in the first edition of this valuable item. I would like to get in touch with the author if possible, strictly before the appearence of second edition.

    Was this review helpful? Yes  No   Report this review
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