Enders, Applied Econometric Time Series, 3rd edition

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Enders, Applied Econometric Time Series, 3rd edition

Postby TomDoan » Thu Jun 28, 2012 1:24 pm

The attached zip has the examples and data files from Enders, Applied Econometric Time Series, 3rd ed, Wiley 2010. 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.

This book is available for purchase from Estima. For more information, see http://www.estima.com/textbook_enders.shtml

Zip with programs/data
(368.2 KiB) Downloaded 1271 times

Example Description RATS Level
endersp058.rpf Moving average representation (theoretical) Intermediate
endersp072.rpf ARMA models Intermediate
endersp089.rpf ARMA models, forecasting Advanced
endersp099.rpf Seasonal ARMA models Basic
endersp105.rpf ARMA models;Chow test Basic
endersp107.rpf Recursive least squares;threshold regression Intermediate
endersp136.rpf ARCH-GARCH models Basic
endersp137.rpf ARMA-GARCH model; IGARCH model Intermediate
endersp158.rpf GARCH; IGARCH; EGARCH; GARCH-M models Intermediate
endersp168.rpf Multivariate GARCH Intermediate
endersp211.rpf Unit root test Intermediate
endersp226.rpf Seasonal unit root test (HEGY) Intermediate
endersp244.rpf Panel unit root test Intermediate
endersp252.rpf Beveridge-Nelson decomposition Intermediate
endersp253.rpf Beveridge-Nelson decomposition Intermediate
endersp265.rpf Bootstrapping Intermediate
endersp266.rpf Bootstrapping Advanced
endersp269.rpf Unit root test Basic
endersp290.rpf Transfer function model; impulse response to exogenous variable Intermediate
endersp344.rpf SVAR; Blanchard-Quah factorization Basic
endersp377.rpf Cointegration; Enders-Granger tests; VECM Intermediate
endersp382.rpf Cointegration tests; Enders-Granger tests Intermediate
endersp401.rpf Cointegration, estimation by ML Advanced
endersp409.rpf Cointegration; Enders-Granger; ML Advanced
endersp448.rpf Threshold model Basic
endersp450.rpf Threshold model Basic
endersp451.rpf Threshold model Intermediate
endersp454.rpf Threshold model Intermediate
endersp466.rpf STAR model Advanced
endersp480.rpf Threshold unit root test; Enders-Granger test Basic

Last bumped by TomDoan on Thu Jun 28, 2012 1:24 pm.
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