Applied Econometric Times Series

Accessible & Modern Techniques for Time-Series AnalysisAssuming only a basic understanding of multiple regression analysis, this classic introduction to time-series analysis shows how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using modern techniques. Numerous real-world examples from fields ranging from agricultural economics to transnational terrorism further illustrate the various techniques.This new edition reflects both sound structure and recent advances in time-series econometrics, such as out-of-sample forecasting techniques, nonlinear time-series models, Monte Carlo analysis, and bootstrapping.Features:* New discussion of parameter instability and structural breaks including tests for endogenous breaks.* New coverage of developments in cointegration tests and in unit root tests.* Improved discussions on out-of-sample forecasting methods and multivariate GARCH models.* Numerous illustrations of key concepts and detailed example using real-world data.* Step-by-step approach to time-series estimation.* Additional questions and empirical exercises that enable students to practice the techniques covered in the test. Data sets are available on the text´s companion Web site.* Emphasizes difference equations as the foundation of all time-series models.