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|a UAMI
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|a Kočenda, Evžen,
|e author.
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|a Elements of time series econometrics :
|b an applied approach /
|c Evžen Kočenda, Alexandr Černý.
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| 264 |
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|a Prague [Czech Republic] :
|b Karolinum Press,
|c 2015.
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| 300 |
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|a 1 online resource
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 504 |
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|a Includes bibliographical references and index.
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| 588 |
0 |
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|a Vendor-supplied metadata.
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|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
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|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
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|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
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|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
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| 590 |
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|a eBooks on EBSCOhost
|b EBSCO eBook Subscription Academic Collection - Worldwide
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| 590 |
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|a JSTOR
|b Books at JSTOR Demand Driven Acquisitions (DDA)
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 650 |
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|a Time-series analysis
|x Mathematical models.
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| 650 |
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|a Econometrics.
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| 650 |
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6 |
|a Série chronologique
|x Modèles mathématiques.
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| 650 |
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6 |
|a Économétrie.
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| 650 |
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7 |
|a BUSINESS & ECONOMICS
|x Economics
|x General.
|2 bisacsh
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| 650 |
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|a BUSINESS & ECONOMICS
|x Reference.
|2 bisacsh
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| 650 |
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7 |
|a BUSINESS & ECONOMICS / Econometrics
|2 bisacsh
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| 650 |
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7 |
|a Econometrics
|2 fast
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| 650 |
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7 |
|a Time-series analysis
|x Mathematical models
|2 fast
|
| 700 |
1 |
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|a Černý, Alexan,
|e author.
|
| 758 |
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|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
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=4395935
|z Texto completo
|
| 880 |
8 |
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|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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| 938 |
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