Average customer rating:
- Excellent reference
- Good intro and review of the material
- Excellent as a practical quide - a must have handbook - recent development are here too
- Practical book on time series econometrics
- An Elementary Book
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Applied Econometric Time Series, 2nd Edition
Walter Enders
Manufacturer: Wiley
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Time Series Analysis
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Analysis of Panel Data
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Econometrics
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Econometric Analysis (5th Edition)
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Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
ASIN: 0471230650 |
Book Description
Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. The first edition of Applied Econometric Time Series was among those chosen.
This new edition reflects recent advances in time-series econometrics, such as out-of-sample forecasting techniques, non-linear time-series models, Monte Carlo analysis, and bootstrapping. Numerous examples from fields ranging from agricultural economics to transnational terrorism illustrate various techniques.
Customer Reviews:
Excellent reference.......2007-09-18
This book is an excellent reference guide and a must have book to everyone interested in time series analysis.
Good intro and review of the material.......2006-03-09
Having read a few books on time series analysis, Enders provides the best introduction to the area. The approach is simple and practically oriented. Explaining the basics of the area with limited use of math is beneficial. With this area developing so rapidly, a new, updated edition would be a welcome book on my shelf.
Excellent as a practical quide - a must have handbook - recent development are here too .......2006-02-04
I bought this book as an introductory reading to time series. And found it very easy to understand, both the theoretical explanations and practical applications. I think it is a "must have handbook" for any economics student. The last edition also covers the recent panel unit root tests, not the 2nd generation ones but Im, Pesaran, Shin panel test is explanained pretty well. Graphical illustrations of series and visual detection of possible problems are nice for beginners. Also, shows how to analyze data step-by-step with plenty of examples. In overall I think it is a great investment for those doing empirical studies and/or starting to learn/work with time series.
Practical book on time series econometrics.......2005-03-29
I am a Financial Engineer working primarily in risk management. Over the past few months I've had to study up on time series-related topics (both GARCH and cointegration-based analyses). This book is excellent for someone who needs to find time-series information and then apply it to a problem in a hurry. The explanations are clear and intuitive, yet mathematically precise. There are plenty of examples on how to apply techniques to real world problems, including lucid discussions of the proper statistical tests to use for the various methodologies.
Like many engineers, I often find myself scrambling to find a good source for a model or system component I will have to design, usually under tight time constraints. This is a perfect example of the type of textbook I always hope to find when starting such a task.
An Elementary Book.......2001-05-20
The book is an introduction to time series and covers ARMA, VAR Unit roots and Basic Cointegration, is a good book for people that want learn time series quickly, the book has some elementary theory of time series and many examples and exercises, the computacional problems needs some of RATS ...the book describes time series without advanced mathematics.
Book Description
This reference work and graduate level textbook considers a wide range of models and methods for analyzing and forecasting multiple time series. The models covered include vector autoregressive, cointegrated, vector autoregressive moving average, multivariate ARCH and periodic processes as well as dynamic simultaneous equations and state space models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced. Causality analysis, impulse response analysis and innovation accounting are presented as tools for structural analysis.
The book is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their tasks. It bridges the gap to the difficult technical literature on the topic.
Customer Reviews:
Welcomed Surprise.......2007-10-13
This book provides a fairly elementary view of the vast subject of time series analysis. It easy to read and the author provides lots of basic calculations. Typically, such books stay away from the cutting edge topics but not this one. It is quite complete. I highly recommend it to anyone that knows a few basic things about time series and wants to take it much further.
Book Description
Time series econometrics is used for predicting future developments of variables of interest such as economic growth, stock market volatility or interest rates. A model has to be constructed, accordingly, to describe the data generation process and to estimate its parameters. Modern tools to accomplish these tasks are provided in this volume, which also demonstrates by example how the tools can be applied.
Customer Reviews:
Good, but a tough read.......2005-11-16
A well written book which provides numerous refernces to freely available software. However, this book is certainly not meant for someone wanting a fast and gentle introduction to econometrics. Equations and models are presented with full theoretical exposition, however the notation used is extremely complex and the explanations are very terse.
This reads more like a book aimed for a graduate student and less for a financial practioner looking for some insight into time series.
Book Description
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.
Customer Reviews:
Main Focus on cointegration + use of PcGive & G@RCH.......2004-11-30
This book is mainly focused on cointegration(the title is quite misleading). The treatment is nice and NOT superficial. Every chapter deals (in)directly with cointegration, except the last one on GARCH models. There is even a chapter on panel data models and cointegration. Do NOT buy the book to get an extensive treatment of "time series modelling and forecasting" techniques. This book is useful if you need to apply cointegration in your work. This book should not be given to students as an introductory book on "time-series modelling and forecasting". Chris Brooks' Introductory Econometrics for Finance is much better for that purpose. Finally, a nice feature of the book is the use of PcGive and G@ARCH Ox packages.
Information on one of the two authors.
http://www.dur.ac.uk/robert.sollis/
Supplementary materials.
http://www.wiley.co.uk/harris/supp.html
Petition: info about authors.......2003-06-19
Please provide brief bios of these two authors.
Average customer rating:
- This book rocks the statistics world!
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The Spectral Analysis of Time Series (Probability and Mathematical Statistics)
Lambert Herman Koopmans
Manufacturer: Academic Press
ProductGroup: Book
Binding: Paperback
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ASIN: 0124192513 |
Book Description
To tailor time series models to a particular physical problem and to follow the working of various techniques for processing and analyzing data, one must understand the basic theory of spectral (frequency domain) analysis of time series. This classic book provides an introduction to the techniques and theories of spectral analysis of time series. In a discursive style, and with minimal dependence on mathematics, the book presents the geometric structure of spectral analysis. This approach makes possible useful, intuitive interpretations of important time series parameters and provides a unified framework for an otherwise scattered collection of seemingly isolated results.
The books strength lies in its applicability to the needs of readers from many disciplines with varying backgrounds in mathematics. It provides a solid foundation in spectral analysis for fields that include statistics, signal process engineering, economics, geophysics, physics, and geology. Appendices provide details and proofs for those who are advanced in math. Theories are followed by examples and applications over a wide range of topics such as meteorology, seismology, and telecommunications.
Topics covered include Hilbert spaces; univariate models for spectral analysis; multivariate spectral models; sampling, aliasing, and discrete-time models; real-time filtering; digital filters; linear filters; distribution theory; sampling properties ofspectral estimates; and linear prediction.
Key Features
* Hilbert spaces
* univariate models for spectral analysis
* multivariate spectral models
* sampling, aliasing, and discrete-time models
* real-time filtering
* digital filters
* linear filters
* distribution theory
* sampling properties of spectral estimates
* linear prediction
Customer Reviews:
This book rocks the statistics world!.......1998-10-09
Koopmans is king when it comes to statistical analysis. Read this book.
Book Description
This excellent text provides a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbence terms, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system. The book provides an excellent source for the development of practical courses on time series analysis.
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Introduction to Multiple Time Series Analysis
Helmut Lütkepohl
Manufacturer: Springer
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Time Series Analysis
ASIN: 3540569405 |
Book Description
This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection or specification are treated and a range of tests and criteria for evaluating the adequacy of a chosen model are introduced. The choice of point and interval forecasts is considered and impulse response analysis, dynamic multipliers as well as innovation accounting are presented as tools for structural analysis within the multiple time series context. This book is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on this book. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their task. It enables the reader to perform his or her analyses in a gap to the difficult technical literature on the topic.
Book Description
Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist texts, such as integrated time series, cointegration, simulation analysis, Johansen's Approach to multivariate co-integration and ARCH. The author explains the central distinction between stationary and nonstationary time series, which is of crucial importance in many areas of analysis, especially in macroeconomics and financial economics.
Customer Reviews:
Very useful book.......2006-12-08
This book is useful for several reasons. First, it is readabale without being a collection of "how to" recipes (like, for instance, the book by Enders). It tries hard to provide a theoretical context to the results it presents, and almost always succeeds in so doing. Second, it focuses on selected (4 or 5) but "meaningful" applications (i.e. with all the steps necessary for actual publication, at least back in 1998), dedicating whole chapters to each of them. Third, it contains possibly the best textbook chapter ever written on cointegration (chapter 8, a pearl in my opinion). The VAR-VECM chapters are good too.
The book is not perfect, though. First, it got old soon. There is little or nothing on cointegration and unit root testing with structural breaks, nothing on panel data cointegration, etc. Second, chapter 9 (on endogeneity and the FM-OLS estimator) is somewhat difficult and a little outdated (I mean, who uses FM-OLS estimators in this day and age? What about DOLS?). All in all, is still a nice introduction to time series analysis to people who need to understand why and how things are done in a particular way, as opposed to just how they are done.
An Awkward Treatment of Time Series Econometrics.......2002-01-24
Patterson's text is perhaps one of the worst econometrics textbooks that I have come across in recent years. The writing is cumbersome and unwiedy, the exposition is awkward, and the overall treatment of the subject is rather tiresome, uninspiring.
The only reason that I did not give this book a "one-star" is that it could serve a useful purpose: it can show budding econometric textbook authors how not to write a textbook.
The panacea for studying a stimulated-simulated approach TSA.......2001-08-27
Looking for miracles before examination? This is the book that I have depended on for 2 months to understand time series analysis in a logical manner. The book is an impetus for a much more simpler approach in studying econometrics. The matrix method was not left out which is a stride in understanding the greater complexities of mathematics involved in many econometrics textbook. Written in a lively fashioned aligned with some of the famous empirical studies which are pillars of modern economic thinking. The approach is based on the authors' thinking to act as a support function for many students who are indeed interested to learn the values of empirical analysis in economics. Without this book I would have never apotheosised the study of econometrics in this way. I congratulate the author for his successful scholarly work!!! Your book paved way to my success!
The Long waiting gift for beginners in time series.......2001-02-01
There are many good books on time series analysis, i.e. Enders (1995), Hamilton (1994), and Maddala and Kim (1998). Unfortunately, the books is intended for advance learner. While Enders (1995) is accessible for begginners, it seems getting old and become a nostalgia.
Fortunately, Patterson (2001) has provided a readability book for student and practitioner that all this time has been forgotten by most writers in this subject. Without going into much frighteners (and more likely will confuse the beginners) advance mathematical, matrix, and econometric theory; the book give theoretical insight into what is supposed to be known in the subject. While this book is only a complete refresher (and could be boring) for advance learner, I cannot find a better introduction book.
As detailed reference textbook, it covers basic subject on time series (i.e. ADF test, Engle-Granger procedure, cointegration, VAR, and VECM) up to several higher-level issues such as multiple unit roots, structural and seasonal problems in unit roots/cointegration, ARCH, and GARCH. This book is intended to provide students, researchers, and forecasters with a definitive, self-contained survey of time series analysis.
With intensive application, the book will attract applied academician and practitioner in business sector. 5 chapters exclusively dedicate for application, this equal to 30% of the book contain (around 230 page from 750 page contain). The subject cover in application section are popular subject: money demand, term and structure interest rate, Phillips curve, and exchnage rate. More examples also available in every chapter. From this point of view, the book delivery what its promise in the title: "Applied Econometric; A Time Series Approach".
With such a simplifying way in explaining the subject, the book will be a richly enjoy reading for undergraduate and first year graduate students of all sciences, not only in economics. This much-needed book synthesizes major developments in Time Series into a single, coherent presentation of the current state of the art of this increasingly important field.
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Cointegration for the Applied Economist: Second Edition
Manufacturer: Palgrave Macmillan
ProductGroup: Book
Binding: Hardcover
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ASIN: 1403996148
Release Date: 2007-10-30 |
Book Description
The second edition of the landmark book on unit roots and cointegration techniques updated with new developments.
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International Competitiveness in Africa: Policy Implications in the Sub-Saharan Region (Advanced Studies in Theoretical and Applied Econometrics)
Ivohasina Fizara Razafimahefa , and
Shigeyuki Hamori
Manufacturer: Springer
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ASIN: 3540689206 |
Book Description
The effects of international trade and foreign direct investment on developing economies have always been controversial. With the unstoppable spread of globalization and the supremacy of "open" policies over "closed" ones, the debate between "participating" and "not participating" in the world economy has been superseded by discussions on the best policy measures for expanding participation and enhancing the accrued welfare gains. Policies to strengthen international competitiveness are almost unanimously considered important means towards those ends. This book examines two policies frequently used to enhance international competitiveness in Sub-Saharan African economies: exchange rate policy and productivity-related policy.
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