Elements of time series econometrics :: an applied approach /
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Prague [Czech Republic] :
Karolinum Press,
2015.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9788024631981 8024631989 |
Internformat
MARC
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| 100 | 1 | |a Kočenda, Evžen, |e author. |0 http://id.loc.gov/authorities/names/nr00026259 | |
| 245 | 1 | 0 | |a Elements of time series econometrics : |b an applied approach / |c Evžen Kočenda, Alexandr Černý. |
| 264 | 1 | |a Prague [Czech Republic] : |b Karolinum Press, |c 2015. | |
| 300 | |a 1 online resource | ||
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| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Vendor-supplied metadata. | |
| 505 | 0 | |a 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 | |
| 505 | 8 | |a 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 | |
| 505 | 8 | |a 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 | |
| 505 | 8 | |a 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 | |
| 650 | 0 | |a Time-series analysis |x Mathematical models. | |
| 650 | 0 | |a Econometrics. |0 http://id.loc.gov/authorities/subjects/sh85040763 | |
| 650 | 6 | |a Série chronologique |x Modèles mathématiques. | |
| 650 | 6 | |a Économétrie. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Economics |x General. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Reference. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Econometrics |2 bisacsh | |
| 650 | 7 | |a Econometrics |2 fast | |
| 650 | 7 | |a Time-series analysis |x Mathematical models |2 fast | |
| 700 | 1 | |a Černý, Alexan, |e author. | |
| 758 | |i has work: |a Elements of time series econometrics (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGbTWmhVBFgVt7CKbFrm8d |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Kočenda, Evžen |t Elements of Time Series Econometrics: an Applied Approach |d : Charles University in Prague, Karolinum Press,c2015 |z 9788024631998 |
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| 880 | 8 | |6 505-00/(S |a 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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Datensatz im Suchindex
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| author | Kočenda, Evžen Černý, Alexan |
| author_GND | http://id.loc.gov/authorities/names/nr00026259 |
| author_facet | Kočenda, Evžen Černý, Alexan |
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| contents | 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 |
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| dewey-ones | 330 - Economics |
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| dewey-search | 330/.01/51955 |
| dewey-sort | 3330 11 551955 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-10-25T16:23:01Z |
| institution | BVB |
| isbn | 9788024631981 8024631989 |
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| publisher | Karolinum Press, |
| record_format | marc |
| spelling | Kočenda, Evžen, author. http://id.loc.gov/authorities/names/nr00026259 Elements of time series econometrics : an applied approach / Evžen Kočenda, Alexandr Černý. Prague [Czech Republic] : Karolinum Press, 2015. 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier 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 Time-series analysis Mathematical models. Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Série chronologique Modèles mathématiques. Économétrie. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Econometrics fast Time-series analysis Mathematical models fast Černý, Alexan, author. has work: Elements of time series econometrics (Text) https://id.oclc.org/worldcat/entity/E39PCGbTWmhVBFgVt7CKbFrm8d https://id.oclc.org/worldcat/ontology/hasWork Print version: Kočenda, Evžen Elements of Time Series Econometrics: an Applied Approach : Charles University in Prague, Karolinum Press,c2015 9788024631998 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1165311 Volltext CBO01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1165311 Volltext 505-00/(S 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 |
| spellingShingle | Kočenda, Evžen Černý, Alexan Elements of time series econometrics : an applied approach / 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 Time-series analysis Mathematical models. Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Série chronologique Modèles mathématiques. Économétrie. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Econometrics fast Time-series analysis Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85040763 |
| title | Elements of time series econometrics : an applied approach / |
| title_auth | Elements of time series econometrics : an applied approach / |
| title_exact_search | Elements of time series econometrics : an applied approach / |
| title_full | Elements of time series econometrics : an applied approach / Evžen Kočenda, Alexandr Černý. |
| title_fullStr | Elements of time series econometrics : an applied approach / Evžen Kočenda, Alexandr Černý. |
| title_full_unstemmed | Elements of time series econometrics : an applied approach / Evžen Kočenda, Alexandr Černý. |
| title_short | Elements of time series econometrics : |
| title_sort | elements of time series econometrics an applied approach |
| title_sub | an applied approach / |
| topic | Time-series analysis Mathematical models. Econometrics. http://id.loc.gov/authorities/subjects/sh85040763 Série chronologique Modèles mathématiques. Économétrie. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Econometrics fast Time-series analysis Mathematical models fast |
| topic_facet | Time-series analysis Mathematical models. Econometrics. Série chronologique Modèles mathématiques. Économétrie. BUSINESS & ECONOMICS Economics General. BUSINESS & ECONOMICS Reference. BUSINESS & ECONOMICS / Econometrics Econometrics Time-series analysis Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1165311 |
| work_keys_str_mv | AT kocendaevzen elementsoftimeserieseconometricsanappliedapproach AT cernyalexan elementsoftimeserieseconometricsanappliedapproach |