Paper $20.00 ISBN: 9788024623153 Published June 2014 Not for sale in the Czech Republic and the Slovak Republic

Elements of Time Series Econometrics

An Applied Approach - Second Edition

Evzen Kocenda and Alexandr Cerný

Evzen Kocenda and Alexandr Cerný

Distributed for Karolinum Press, Charles University

228 pages | 5 1/2 x 8
Paper $20.00 ISBN: 9788024623153 Published June 2014 Not for sale in the Czech Republic and the Slovak Republic
A time series is a sequence of numbers collected at regular intervals over a period of time. Designed with emphasis on the practical application of theoretical tools, Elements of Time Series Econometrics is an approachable guide for the econometric analysis of time series. The text is divided into five major sections. The first section, “The Nature of Time Series,” gives an introduction to time series analysis. The next section, “Difference Equations,” describes briefly the theory of difference equations, with an emphasis on results that are important for time series econometrics. The third section, “Univariate Time Series,” presents the methods commonly used in univariate time series analysis, the analysis of time series of a single variable. The fourth section, “Multiple Time Series,” deals with time series models of multiple interrelated variables. The final section, new to this edition, is “Panel Data and Unit Root Tests” and deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables.
Contents
INTRODUCTION

1. THE NATURE OF TIME SERIES
1.1 DESCRIPTION OF TIME SERIES
1.2 WHITE NOISE
1.3 STATIONARITY
1.4 TRANSFORMATIONS OF TIME SERIES
1.5 TREND, SEASONAL, AND IRREGULAR PATTERNS
1.6 ARMA MODELS OF TIME SERIES
1.7 STYLIZED FACTS ABOUT TIME SERIES

2. DIFFERENCE EQUATIONS
2.1 LINEAR DIFFERENCE EQUATIONS
2.2 LAG OPERATOR
2.3 THE SOLUTION OF DIFFERENCE EQUATIONS ---
2.3.1 PARTICULAR SOLUTION AND LAG OPERATORS
2.3.2 SOLUTION BY ITERATION
2.3.3 HOMOGENOUS SOLUTION
2.3.4 PARTICULAR SOLUTION
2.4 STABILITY CONDITIONS
2.5 STABILITY AND STATIONARITY

3. UNIVARIATE TIME SERIES
3.1 ESTIMATION OF AN ARMA MODEL
3.1.1 AUTOCORRELATION FUNCTION - ACF
3.1.2 PARTIAL AUTOCORRELATION FUNCTION - PACF
3.1.3 Q-TESTS
3.1.4 DIAGNOSTICS OF RESIDUALS
3.1.5 INFORMATION CRITERIA
3.1.6 BOX-JENKINS METHODOLOGY
3.2 TREND IN TIME SERIES
3.2.1 DETERMINISTIC TREND
3.2.2 STOCHASTIC TREND
3.2.3 STOCHASTIC PLUS DETERMINISTIC TREND
3.2.4 ADDITIONAL NOTES ON TRENDS IN TIME SERIES
3.3 SEASONALITY IN TIME SERIES
3.3.1 REMOVING SEASONAL PATTERNS
3.3.2 ESTIMATING SEASONAL PATTERNS
3.3.3 DETECTING SEASONAL PATTERNS
3.3.4 HODRICK-PRESCOTT FILTER
3.4 UNIT ROOTS
3.4.1 DICKEY-FULLER TEST
3.4.2 AUGMENTED DICKEY-FULLER TEST
3.4.3 SHORTCOMINGS OF THE DICKEY-FULLER TEST
3.4.4 PHILLIPS-PERRON TEST
3.4.5 KPSS TEST
3.5 UNIT ROOTS AND STRUCTURAL CHANGE
3.5.1 PERRON'S TEST
3.5.2 ZIVOT AND ANDREWS' TEST
3.6 DETECTING A STRUCTURAL CHANGE
3.6.1 SINGLE STRUCTURAL CHANGE
3.6.2 MULTIPLE STRUCTURAL CHANGE
3.7 CONDITIONAL HETEROSKEDASTICITY AND NON-LINEAR STRUCTURE
3.7.1 CONDITIONAL AND UNCONDITIONAL EXPECTATIONS
3.7.2 ARCH MODEL
3.7.3 GARCH MODEL
3.7.4 DETECTING CONDITIONAL HETEROSKEDASTICITY
3.7.5 THE BDS TEST
3.7.6 AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL
3.7.7 IDENTIFICATION AND ESTIMATION OF A GARCH MODEL
3.7.8 EXTENSIONS OF ARCH -TYPE MODELS
3.7.9 MULTIVARIATE (G)ARCH MODELS
3.7.10 STRUCTURAL BREAKS IN VOLATILITY

4. MULTIPLE TIME SERIES
4.1 VAR MODELS
4.1.1 STRUCTURAL FORM, REDUCED FORM, AND IDENTIFICATION
4.1.2 STABILITY AND STATIONARITY OF VAR MODELS
4.1.3 ESTIMATION OF A VAR MODEL
4.2 GRANGER CAUSALITY
4.3 COINTEGRATION AND ERROR CORRECTION MODELS
4.3.1 DEFINITION OF COINTEGRATION
4.3.2 THE ENGLE-GRANGER METHODOLOGY
4.3.3 EXTENSIONS TO THE ENGLE-GRANGER METHODOLOGY ---
4.3.4 THE JOHANSEN METHODOLOGY

5. PANEL DATA AND UNIT ROOT TESTS
5.1 LEVIN, LIN, AND CHU PANEL UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND LIMITED COEFFICIENTS HETEROGENEITY VAR MODELS
5.2 IM, PESARAN, AND SHIN UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND HETEROGENEOUS COEFFICIENTS
5.3 HADRI UNIT-ROOT TESTS WITH A NULL OF STATIONARITY 5.4 BREUER, MCNOWN, AND WALLACE TEST FOR CONVERGENCE
5.5 VOGELSANG TEST FOR ß-CONVERGENCE

APPENDIX A: MONTE CARLO SIMULATIONS
REFERENCES
INDEX
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