Elements of time series econometrics : an applied approach / Evžen Kočenda, Alexandr Černý.

Includes bibliographical references and index.

Vendor-supplied metadata.

Cover; 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 series3.1 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 roots3.4.1 dickey-fuller test; 3.4.2 augmented dickey-fuller test; 3.4.3 phillips-perron test; 3.4.4 shortcomings of the standard unit root tests; 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 non-linear structure and conditional heteroskedasticity; 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 integral3.7.7 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 METHODOLOGY4.3.4 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; 5.2. IM, PESARAN, AND SHIN UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND HETEROGENEOUS COEFFICIENTS; 5.3 HADRI UNIT-ROOT TESTS WITHA NULL OF STATIONARITY; 5.4 BREUER, MCNOWN, AND WALLACETEST FOR CONVERGENCE; 5.5 VOGELSANG TEST FOR β-CONVERGENCE; APPENDIX A -- MONTE CARLO SIMULATIONS; APPENDIX B -- STATISTICAL TABLES; REFERENCES; INDEX

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