Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Look up keyword or section
Like this
16Activity

Table Of Contents

Introduction and Overview
SOME INITIAL CONCEPTS
FORECASTING
OUTLINE OF THE BOOK
Short- and Long-run Models
LONG-RUN MODELS
STATIONARY AND NON-STATIONARY TIME SERIES
SPURIOUS REGRESSIONS
COINTEGRATION
CONCLUSION
Testing for Unit Roots
AUGMENTED DICKEY-FULLER TEST
POWER AND LEVEL OF UNIT ROOT TESTS
STRUCTURAL BREAKS AND UNIT ROOT TESTS
SEASONAL UNIT ROOTS35
STRUCTURAL BREAKS AND SEASONAL UNIT ROOT TESTS
PERIODIC INTEGRATION AND UNIT ROOT-TESTING
CONCLUSION ON UNIT ROOT TESTS
Cointegration in Single Equations
THE ENGLE—GRANGER (EG) APPROACH
TESTING FOR COINTEGRATION WITH A STRUCTURAL BREAK
ALTERNATIVE APPROACHES
PROBLEMS WITH THE SINGLE EQUATION APPROACH
ESTIMATING THE SHORT-RUN DYNAMIC MODEL
SEASONAL COINTEGRATION34
ASYMMETRIC TESTS FOR COINTEGRATION
Cointegration in Multivariate Systems
THE JOHANSEN APPROACH
TESTING THE ORDER OF INTEGRATION OF THE VARIABLES
FORMULATION OF THE DYNAMIC MODEL
TESTING FOR REDUCED RANK
DETERMINISTIC COMPONENTS IN THE MULTIVARIATE MODEL
TESTING FOR LINEAR HYPOTHESES ON COINTEGRATION RELATIONS
TESTING FOR UNIQUE COINTEGRATION VECTORS
JOINT TESTS OF RESTRICTIONS ON a AND B
SEASONAL UNIT ROOTS
SEASONAL COINTEGRATION
CONCLUSIONS
ESTIMATING THE LONG-RUN COINTEGRATION RELATIONSHIPS
PARSIMONIOUS VECM
CONDITIONAL PVECM
STRUCTURAL MODELLING
STRUCTURAL MACROECONOMIC MODELLING
Panel Data Models and Cointegration
INTRODUCTION
PANEL DATA AND MODELLING TECHNIQUES
PANEL UNIT ROOT TESTS
TESTING FOR COINTEGRATION IN PANELS
ESTIMATING PANEL COINTEGRATION MODELS
ARCH AND GARCH
MULTIVARIATE GARCH
ESTIMATION AND TESTING
AN EMPIRICAL APPLICATION OF ARCH AND GARCH MODELS
ARCH-M
ASYMMETRIC GARCH MODELS
INTEGRATED AND FRACTIONALLY INTEGRATED GARCH MODELS
CONDITIONAL HETEROSCEDASTICITY, UNIT ROOTS AND COINTEGRATION
FORECASTING WITH GARCH MODELS
FURTHER METHODS FOR FORECAST EVALUATION
CONCLUSIONS ON MODELLING AND FORECASTING FINANCIAL TIME SERIES
Statistical Appendix
References
Index
0 of .
Results for:
No results containing your search query
P. 1
Applied Time Series, Harris

Applied Time Series, Harris

Ratings: (0)|Views: 660|Likes:

More info:

Published by: Νικος Αγγελης on Sep 22, 2011
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

05/12/2015

pdf

text

original

You're Reading a Free Preview
Pages 7 to 14 are not shown in this preview.
You're Reading a Free Preview
Pages 21 to 37 are not shown in this preview.
You're Reading a Free Preview
Pages 44 to 45 are not shown in this preview.
You're Reading a Free Preview
Pages 52 to 78 are not shown in this preview.
You're Reading a Free Preview
Pages 85 to 313 are not shown in this preview.

Activity (16)

You've already reviewed this. Edit your review.
Tanu Nepaul liked this
1 hundred reads
jkl316 liked this
elz0rr0 liked this
Gareth Anderson liked this
ataurima liked this
Abdur Rehman liked this
Abdur Rehman liked this
Abdur Rehman liked this
Abdur Rehman liked this

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->