04385nam 2200517 450 991082102130332120230807211416.080-246-3198-9(CKB)3710000000588351(EBL)4395935(MiAaPQ)EBC4395935(Au-PeEL)EBL4395935(CaPaEBR)ebr11168593(OCoLC)945609753(EXLCZ)99371000000058835120160615h20152015 uy 0engur|n|---|||||rdacontentrdamediardacarrierElements of time series econometrics an applied approach /Evzen Kosenda, Alexandr CernýThird edition.[Prague, Czech Republic] :Karolinum Press,2015.©20151 online resource (220 p.)Description based upon print version of record.80-246-3199-7 Includes bibliographical references at the end of each chapters and index.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 STATIONARITY3. 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 FILTER3.4 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 TEST3.7.6 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 METHODOLOGY4.3.3 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; INDEXTime-series analysisMathematical modelsTime-series analysisMathematical models.519.55Kosenda Evzen1677733Černý AlexandrMiAaPQMiAaPQMiAaPQBOOK9910821021303321Elements of time series econometrics4044834UNINA