New To This Edition
•Chapter 2 discusses the important issue of combining multiple univariate forecasts so as to reduce overall forecast error variance.
•Chapter 3 expands the discussion of multivariate GARCH models by illustrating volatility impulse response functions.
•Chapter 5 has been rewritten to show the appropriate ways to properly identify and estimate autoregressive distributed lags (ADLs).
•Chapter 7 now discusses the so-called Davies’ problem involving unidentified nuisance parameters under the null hypothesis.
Applied Econometric Time Series, 4th Edition demonstrates modern techniques for developing models capable of forecasting, interpreting, and testing hypotheses concerning economic data. In this text, Dr. Walter Enders commits to using a “learn-by-doing” approach to help readers master time-series analysis efficiently and effectively.
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 Models and Breaks