000			01651 a2200205 4500
020			_a9783319982816
040			_cIIT Kanpur
041			_aeng
082			_a330.015195 _bL576t
100			_aLevendis, John D.
245			_aTime series econometrics _blearning through replication _cJohn D. Levendis
260			_bSpringer _c2019 _aSwitzerland
300			_axiii, 409p
440			_aSpringer texts in business and economics
500			_aExtras online
520			_aIn this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
650			_aEconometrics
650			_aTime - series analysis
942			_cTXT
999			_c560960 _d560960