RATS Handbook to Accompany Introductory Econometrics for Finance

RATS Handbook to Accompany Introductory Econometrics for Finance

by Chris Brooks
     
 

ISBN-10: 0521721687

ISBN-13: 9780521721684

Pub. Date: 12/31/2008

Publisher: Cambridge University Press

Written to complement the second edition of best-selling textbook Introductory Econometrics for Finance, this book provides a comprehensive introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond. It provides numerous worked examples with carefully annotated code and detailed explanations of the outputs,…  See more details below

Overview

Written to complement the second edition of best-selling textbook Introductory Econometrics for Finance, this book provides a comprehensive introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond. It provides numerous worked examples with carefully annotated code and detailed explanations of the outputs, giving readers the knowledge and confidence to use the software for their own research and to interpret their own results. A wide variety of important modelling approaches are covered, including such topics as time-series analysis and forecasting, volatility modelling, limited dependent variable and panel methods, switching models and simulations methods. The book is supported by an accompanying website containing freely downloadable data and RATS instructions.

Product Details

ISBN-13:
9780521721684
Publisher:
Cambridge University Press
Publication date:
12/31/2008
Edition description:
New Edition
Pages:
213
Product dimensions:
7.40(w) x 9.60(h) x 0.60(d)

Table of Contents

Preface; 1. Introduction; 2. The classical linear regression model; 3. Further development and analysis of the classical linear regression model; 4. Diagnostic testing; 5. Formulating and estimating ARMA models; 6. Multivariate models; 7. Modelling long-run relationships; 8. Modelling volatility and correlation; 9. Switching models; 10. Panel data; 11. Limited dependent variable models; 12. Simulations methods; References; Index.

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