Enders, Applied Econometric Time Series, 4th edition
Posted: 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.