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Applied Time Series Modelling and Forecasting Richard Harris

Applied Time Series Modelling and Forecasting By Richard Harris

Applied Time Series Modelling and Forecasting by Richard Harris

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Summary

The text has been thoroughly updated to incorporate recent developments and includes three major new chapters on: time series modelling in the financial economics area, the Harvey approach to structural time series modelling and cointegration, and panel data models and non--stationary time series.

Applied Time Series Modelling and Forecasting Summary

Applied Time Series Modelling and Forecasting by Richard Harris

This book covers time series modeling and forecasting for econometrics and finance students. This new edition has been simplified for more ease of use and includes new chapters and substantial important revisions.

About Richard Harris

Richard Harris is a Professor in the Department of Economics and Finance at the University of Durham. His areas of research are in the field of applied econometrics and he has published widely in numerous journals. Robert Sollis is a Lecturer in the Department of Economics and Finance at the University of Durham. His research interests are in time series econometrics with particular focus on nonlinear models for macroeconomic and financial time series.

Table of Contents

Preface. 1. Introduction and Overview. Some Initial Concepts. Forecasting. Outline of the Book. 2. Short-- and Long--run Models. Long--run Models. Stationary and Non--stationary Time Series. Spurious Regressions. Cointegration. Short--run Models. Conclusion. 3. Testing for Unit Roots. The Dickey--Fuller Test. Augmented Dickey--Fuller Test. Power and Level of Unit Root Tests. Structural Breaks and Unit Root Tests. Seasonal Unit Roots. Structural Breaks and Seasonal Unit Root Tests. Periodic Integration and Unit Root--testing. Conclusion on Unit Root Tests. 4. 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 Cointegration. Periodic Cointegration. Asymmetric Tests for Cointegration. Conclusion s. 5. 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 of Weak Exogeneity and VECM with Exogenous I (l) Variables. Testing for Linear Hypotheses on Cointegration Relations. Testing for Unique Cointegration Vectors. Joint Tests of Restrictions on alpha and beta Seasonal Unit Roots. Seasonal Cointegration. Conclusions. Appendix 1: Programming in SHAZAM. 6. Modelling the Short--run Multivariate System. Introduction. Estimating the Long--run Cointegration Relationships. Parsimonious VECM. Conditional PVECM. Structural Modelling. Structural Macroeconomic Modelling. 7. Panel Data Models and Cointegration. Introduction. Panel Data and Modelling Techniques. Panel Unit Root Tests. Testing for Cointegration in Panels. Estimating Panel Cointegration Models. Conclusion on Testing for Unit Roots and Cointegration in Panel Data. 8. Modelling and Forecasting Financial Times Series. Introduction. 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. Appendix: Cointegration Analysis Using the Johansen Technique: A Practitioner's Guide to PcGive 10.1. Statistical Appendix. References. Index.

Additional information

GOR011713598
9780470844434
0470844434
Applied Time Series Modelling and Forecasting by Richard Harris
Richard Harris
Used - Well Read
Paperback
John Wiley & Sons Inc
2003-04-17
316
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book. We do our best to provide good quality books for you to read, but there is no escaping the fact that it has been owned and read by someone else previously. Therefore it will show signs of wear and may be an ex library book

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