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Applied Econometric Time Series Third Edition

Applied Econometric Time Series Third Edition

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Applied Econometric Time Series Third Edition

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  1. Applied Econometric Time SeriesThird Edition Walter Enders, University of Alabama Copyright © 2010 John Wiley & Sons, Inc.

  2. Chapter 2STATIONARY TIME-SERIESMODELS

  3. 1. STOCHASTIC DIFFERENCE EQUATION MODELS2. ARMA MODELS

  4. 3. STATIONARITY • Stationarity Restrictions for an AR(1) Process

  5. 4. STATIONARITY RESTRICTIONSFOR AN ARMA(p, q) MODEL • Stationarity Restrictions for the Autoregressive Coefficients

  6. 5. THE AUTOCORRELATION FUNCTION • The Autocorrelation Function of an AR(2) Process • The Autocorrelation Function of an MA(1) Process • The Autocorrelation Function of an ARMA(1, 1) Process

  7. 6. THE PARTIAL AUTOCORRELATION FUNCTION

  8. 7. SAMPLE AUTOCORRELATIONSOF STATIONARY SERIES • Model Selection Criteria • Estimation of an AR(1) Model • Estimation of an ARMA(1, 1) Model • Estimation of an AR(2) Model

  9. 8. BOX–JENKINS MODEL SELECTION • Parsimony • Stationarity and Invertibility • Goodness of Fit • Post-Estimation Evaluation

  10. 9. PROPERTIES OF FORECASTS • Higher-Order Models • Forecast Evaluation • The Granger–Newbold Test • The Diebold-Mariano Test

  11. 10. A MODEL OF THE INTEREST RATE SPREAD • Out-of-Sample Forecasts

  12. 11. SEASONALITY • Models of Seasonal Data • Seasonal Differencing

  13. 12. PARAMETER INSTABILITY AND STRUCTURAL CHANGE • Testing for Structural Change • Endogenous Breaks • Parameter Instability • An Example of a Break

  14. 13. SUMMARY AND CONCLUSIONS

  15. APPENDIX 2.1: ESTIMATION OF AN MA(1) PROCESS

  16. APPENDIX 2.2: MODEL SELECTION CRITERIA • The Finite Prediction Error (FPE) Criterion • The AIC and the SBC