| 书目名称 | Time Series Econometrics | | 副标题 | Learning Through Rep | | 编辑 | John D. Levendis | | 视频video | | | 概述 | Facilitates a practical understanding of financial econometrics by having students work through classic texts in economics and finance, using the original data and replicating their results.Encourages | | 丛书名称 | Springer Texts in Business and Economics | | 图书封面 |  | | 描述 | .In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results...This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger...The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.. | | 出版日期 | Book 20181st edition | | 关键词 | econometrics; Stata; vector autoregression; volatility; time series analysis; financial econometrics; ARCH | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-319-98282-3 | | isbn_ebook | 978-3-319-98282-3Series ISSN 2192-4333 Series E-ISSN 2192-4341 | | issn_series | 2192-4333 | | copyright | Springer Nature Switzerland AG 2018 |
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发表于 2025-3-21 17:48:35
