Applied Econometric Times Series

by Walter Enders

Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. Applied Econometric Times Series was among those chosen. Unique in that it covers modern time series analysis from the sole prerequisite of an introductory course in multiple regression analysis. Describes the theory of difference equations, demonstrating that they are the foundation of all time-series models with emphasis on the Box-Jenkins methodology. Considers many recent developments in time series analysis including unit root tests, ARCH models, cointegration/error-correction models, vector autoregressions and more. There are numerous examples to illustrate various techniques, many of which concern econometric models of transnational terrorism. The accompanying disk provides data for students to work with.

Genres: Economics, Textbooks, Mathematics, Science

448 pages, Hardcover

First published November 7, 1994

Reviews

[Richard Hz]

investigation for class to the econometric finances

[Ali Rayeni · Rating 3 out of 5]

A good reference book for PhD level time series Econometrics. For more theoretical studies Hurn's "Econometric Modeling" is suggested.

[Jim · Rating 2 out of 5]

A decent book, not to hard, but you have to be fairly good with advanced algebra. I used it for a Masters Level class on Time Series Economics.

[Anar]

re

[Don · Rating 4 out of 5]

A nice largely non-rigourous introduction that I have retained as a reference.

[Yuekun Liu · Rating 5 out of 5]

A very well illustrated test book indeed.