Enders, Applied Econometric Time Series, 4th edition

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Enders, Applied Econometric Time Series, 4th edition

Postby TomDoan » Sat Apr 29, 2017 3:05 pm

This zip file has the examples and data files from Enders, Applied Econometric Time Series, 4th ed, Wiley 2015. This includes a number of topics which are seen in few if any of the other textbook examples, such as seasonal ARMA models, transfer function models, ARMA-GARCH, bootstrapping and threshold models. These rely fairly heavily on RATS procedures such as @BJIDENT, @VARLAGSELECT, @DFUNIT and @JOHMLE.

enders4p056.rpf Moving average representation (theoretical) Intermediate
enders4p070.rpf ARMA models Intermediate
enders4p088.rpf ARMA models, forecasting Advanced
enders4p098.rpf Seasonal ARMA models Basic
enders4p103.rpf ARMA models;Chow test Basic
enders4p106.rpf Recursive least squares;threshold regression Intermediate
enders4p111.rpf Combining forecasts Advanced
enders4p134.rpf GARCH model Intermediate
enders4p136.rpf GARCH model with variance shift Intermediate
enders4p137.rpf ARMA-GARCH model; IGARCH model Intermediate
enders4p158.rpf GARCH; IGARCH; EGARCH; GARCH-M models Intermediate
enders4p169.rpf Multivariate GARCH Intermediate
enders4p173.rpf GARCH model, volatility impulse response Advanced
enders4p181.rpf Deterministic trend models Basic
enders4p186.rpf Simulation of various trend models Basic
enders4p210.rpf Unit root test Basic
enders4p211.rpf Unit root test Intermediate
enders4p219.rpf Unit root tests/lag length Intermediate
enders4p226.rpf Seasonal unit root test (HEGY) Intermediate
enders4p233.rpf Unit root test with breaks Basic
enders4p245.rpf Panel unit root test Intermediate
enders4p251.rpf Beveridge-Nelson decomposition Intermediate
enders4p252.rpf Beveridge-Nelson decomposition Intermediate
enders4p254.rpf Hodrick-Prescott filter Basic
enders4p260.rpf Graph of data Basic
enders4p278.rpf Transfer function model; impulse response to exogenous variable Intermediate
enders4p309.rpf Vector Autoregression Intermediate
enders4p322.rpf Structural VAR (SVAR) Intermediate
enders4p364.rpf Cointegration tests; Enders-Granger tests Intermediate
enders4p375.rpf Simulation of cointegrated models Intermediate
enders4p389.rpf Cointegration, estimation by ML Advanced
enders4p397.rpf Cointegration; Enders-Granger; ML Advanced
enders4p422.rpf Simulation of models with breaks Basic
enders4p432.rpf Structural breaks in linear model Basic
enders4p436.rpf Threshold model Intermediate
enders4p446.rpf Neural network Basic
enders4p449.rpf STAR model Advanced
enders4p457.rpf TAR model, Generalized Impulse Response Advanced
enders4p458.rpf TAR model, Bootstrap forecasts Advanced
enders4p464.rpf Threshold unit root test; Enders-Granger test Advanced
enders4p468.rpf Structural breaks in linear model Basic
enders4p470.rpf Structural breaks in linear model Basic
enders4p472.rpf LSTAR model vs Structural Breaks Intermediate

Last bumped by TomDoan on Sat Apr 29, 2017 3:05 pm.
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