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Time Series Econometrics : Learning Through Replication. 時系列の計量経済学
・ISBN 978-3-319-98281-6 hard EUR 129.99
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| 著者・編者 | Levendis, John D., |
|---|---|
| シリーズ | Springer Texts in Business and Economics |
| 出版社 | (Springer, GW) |
| 出版年月 | 2018 |
| ページ数 | 311 pp. |
| 言語 | ENG |
| ニュース番号 | ＜648-406 648-P812＞ |
解説
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.