This book covers time series modeling and forecasting for econometrics and finance students. This new edition has been simplified for more ease of use and includes new chapters and substantial important revisions.Preface.
1. Introduction and Overview.
Some Initial Concepts.
Forecasting.
Outline of the Book.
2. Short- and Long-run Models.
Long-run Models.
Stationary and Non-stationary Time Series.
Spurious Regressions.
Cointegration.
Short-run Models.
Conclusion.
3. Testing for Unit Roots.
The Dickey–Fuller Test.
Augmented Dickey–Fuller Test.
Power and Level of Unit Root Tests.
Structural Breaks and Unit Root Tests.
Seasonal Unit Roots.
Structural Breaks and Seasonal Unit Root Tests.
Periodic Integration and Unit Root-testing.
Conclusion on Unit Root Tests.
4. Cointegration in Single Equations.
The Engle–Granger (EG) Approach.
Testing for Cointegration with a Structural Break.
Alternative Approaches.
Problems with the Single Equation Approach.
Estimating the Short-run Dynamic Model.
Seasonal Cointegration.
Periodic Cointegration.
Asymmetric Tests for Cointegration.
Conclusion s.
5. Cointegration in Multivariate Systems.
The Johansen Approach.
Testing the Order of Integration of the Variables.
Formulation of the Dynamic Model.
Testing for Reduced Rank.
Deterministic Componentsl#-
![Applied Time Series Modelling and Forecasting [Paperback]](/itemImage/2/9/7/2/2_755579.jpg)