Download Applied Econometric Time Series (Wiley Series in Probability by Walter Enders PDF

By Walter Enders

Amstat information requested 3 evaluate editors to price their most sensible 5 favourite books within the September 2003 factor. utilized Econometric occasions sequence used to be between these selected. specific in that it covers sleek time sequence research from the only real prerequisite of an introductory path in a number of regression research. Describes the idea of distinction equations, demonstrating that they're the basis of all time-series types with emphasis at the Box-Jenkins technique. Considers many fresh advancements in time sequence research together with unit root exams, ARCH versions, cointegration/error-correction versions, vector autoregressions and extra. there are many examples to demonstrate a variety of strategies, a lot of which main issue econometric versions of transnational terrorism. The accompanying disk offers info for college kids to paintings with.

Show description

Read Online or Download Applied Econometric Time Series (Wiley Series in Probability and Statistics) PDF

Similar econometrics books

Measurement Error and Latent Variables in Econometrics (Advanced Textbooks in Economics)

The e-book first discusses extensive numerous points of the well known inconsistency that arises while explanatory variables in a linear regression version are measured with mistakes. regardless of this inconsistency, the sector the place the genuine regression coeffecients lies can occasionally be characterised in an invaluable method, in particular whilst bounds are identified at the dimension errors variance but in addition whilst such info is absent.

Introduction to Estimating Economic Models

The book's finished insurance on the program of econometric ways to empirical research of financial concerns is notable. It uncovers the lacking hyperlink among textbooks on monetary idea and econometrics and highlights the robust connection among monetary concept and empirical research completely via examples on rigorous experimental layout.

Exchange Rate Modelling

Are foreign currency markets effective? Are basics very important for predicting trade price activities? what's the signal-to-ratio of excessive frequency alternate price adjustments? Is it attainable to outline a degree of the equilibrium alternate cost that's valuable from an overview viewpoint? The e-book is a selective survey of present pondering on key issues in trade price economics, supplemented all through by way of new empirical proof.

The Macroeconomic Theory of Exchange Rate Crises

This e-book bargains with the genesis and dynamics of alternate price crises in mounted or controlled alternate price structures. It presents a entire remedy of the prevailing theories of trade fee crises and of economic marketplace runs. It goals to supply a survey of either the theoretical literature on foreign monetary crises and a scientific remedy of the analytical types.

Additional info for Applied Econometric Time Series (Wiley Series in Probability and Statistics)

Example text

XT ) im Inneren von Θ differenzierbar und liegt θ ˆ durch Lösen des Gleichungssystems von Θ, so wird man θ ∂ ln L (θ|x1 , . . , xT ) = 0, ∂θ1 .. ∂ ln L(θ|x1 , . . , xT ) = 0 ∂θr bestimmen. Eine einfache Anwendung wird im folgenden Abschnitt vorgestellt. Die Maximum-Likelihood-Methode hat einige günstige Eigenschaften. Eiˆ der ML-Schätzer für ne sehr nützliche Eigenschaft ist die Äquivarianz: Ist θ ˆ θ, so ist g(θ) der ML-Schätzer für g(θ). Manchmal interessiert man sich nicht für die Schätzung des Parameters θ selbst, sondern für die Schätzung einer Funktion g(θ) der Parameter.

2. 3 Maximum-Likelihood-Methode Wir gehen in diesem Abschnitt davon aus, dass die Verteilungsfunktion F von X bis auf einen r-dimensionalen Vektor von Parametern θ = (θ1 , . . , θ r ) ∈ Θ ⊂ Rr bekannt ist. Der Vektor θ ist zu schätzen. Die Maximum-LikelihoodMethode (ML-Methode) zur Herleitung von Schätzern ist zwar etwas komplizierter als die Methode der Momente, liefert aber in vielen Fällen (insbesondere für große Stichproben) Schätzer mit geringerer Varianz als die Methode der Momente. 13. Sei X Bernoulli-verteilt mit unbekanntem Parameter π; ferner sei X1 , .

XT ) = T t=1 f (xt ||θ) Durch den Doppelstrich soll verdeutlicht werden, dass es sich bei θ um einen Parametervektor (und nicht um gewöhnliche Funktionsargumente) handelt. 3 Parametrische Verteilungsmodelle 43 Der zweite Schritt besteht darin, die Likelihood-Funktion zu maximieren. Die ML-Schätzwerte ˆ θ1 , . . , ˆ θr für θ1 , . . , θ r sind definiert durch ˆ 1 , . . , xT ) = max L(θ|x1 , . . , xT ), L(θ|x θ∈Θ wobei wir die Existenz und Eindeutigkeit des Maximums in Θ stillschweiˆ ist es oft günstiger, gend voraussetzen.

Download PDF sample

Rated 4.68 of 5 – based on 37 votes