About this book
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.
- DOI https://doi.org/10.1007/978-3-319-98282-3
- Copyright Information Springer Nature Switzerland AG 2018
- Publisher Name Springer, Cham
- eBook Packages Economics and Finance
- Print ISBN 978-3-319-98281-6
- Online ISBN 978-3-319-98282-3
- Series Print ISSN 2192-4333
- Series Online ISSN 2192-4341
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