Richard Harris, Robert Sollis

Applied Time Series Modelling and Forecasting

• Broschiertes Buch

Produktbeschreibung

The text has been thoroughly updated to incorporate recent developments and includes three major new chapters on: time series modelling in the financial economics area, the Harvey approach to structural time series modelling and cointegration, and panel data models and non-stationary time series.

Produktdetails

• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 316
• Erscheinungstermin: 19. Mai 2003
• Englisch
• Abmessung: 244mm x 170mm x 17mm
• Gewicht: 525g
• ISBN-13: 9780470844434
• ISBN-10: 0470844434
• Artikelnr.: 11056927

Autorenporträt

Richard A Harris, that's me, is a bit of a dreamer. On the one hand I am a busy Vascular Surgeon to real people. On the other a daydreamer and writer who fell in love with words a long time ago. I live in Sydney Australia, one of the most beautiful places on the planet and I'm deeply appreciative of my surrounds, my family and friends. I set about writing Imagine and a second book on the Thursday and Friday of what had previously been a somewhat disorganised and frustrating week in the life of a surgeon. Loving this profession but yearning to set some dreams, some adventures and some love down on paper. So, Thursday became Imagine and Friday became the second novel that will also be born shortly. It has been a hard couple of years for many. I lost my wonderful partner and Mum of my 2 gorgeous kids in early 2020 to breast cancer. So, grief has been part of the birth of these words, but they are written really just for love, hope and fun. I sincerely hope you will enjoy my words.Apart from surgery I have been a musician, a backpacker, a poet and painter. I have managed to get a public hospital rebuilt that was literally falling into the ground. (Hornsby Hospital) and in the surgical world I have progressed from the old style, massive operations that I learnt on to state of the art minimally invasive high tech treatment of patients with arterial and venous problems.I am finding time to overcome the grief that accompanies losing a best friend and to find the strength to finish my second novel shortly which will be another joyful journey into love, myth, history and words.

Inhaltsangabe

Preface. 1. Introduction and Overview. Some Initial Concepts. Forecasting.
Outline of the Book. 2. Short- and Long-run Models. Long-run Models.
Stationary and Non-stationary Time Series. Spurious Regressions.
Cointegration. Short-run Models. Conclusion. 3. Testing for Unit Roots. The
Dickey-Fuller Test. Augmented Dickey-Fuller Test. Power and Level of Unit
Root Tests. Structural Breaks and Unit Root Tests. Seasonal Unit Roots.
Structural Breaks and Seasonal Unit Root Tests. Periodic Integration and
Unit Root-testing. Conclusion on Unit Root Tests. 4. Cointegration in
Single Equations. The Engle-Granger (EG) Approach. Testing for
Cointegration with a Structural Break. Alternative Approaches. Problems
with the Single Equation Approach. Estimating the Short-run Dynamic Model.
Seasonal Cointegration. Periodic Cointegration. Asymmetric Tests for
Cointegration. Conclusion s. 5. Cointegration in Multivariate Systems. The
Johansen Approach. Testing the Order of Integration of the Variables.
Formulation of the Dynamic Model. Testing for Reduced Rank. Deterministic
Components in the Multivariate Model. Testing of Weak Exogeneity and VECM
with Exogenous I (l) Variables. Testing for Linear Hypotheses on
Cointegration Relations. Testing for Unique Cointegration Vectors. Joint
Tests of Restrictions on alpha and ßSeasonal Unit Roots. Seasonal
Cointegration. Conclusions. Appendix 1: Programming in SHAZAM. 6. Modelling
the Short-run Multivariate System. Introduction. Estimating the Long-run
Cointegration Relationships. Parsimonious VECM. Conditional PVECM.
Structural Modelling. Structural Macroeconomic Modelling. 7. Panel Data
Models and Cointegration. Introduction. Panel Data and Modelling
Techniques. Panel Unit Root Tests. Testing for Cointegration in Panels.
Estimating Panel Cointegration Models. Conclusion on Testing for Unit Roots
and Cointegration in Panel Data. 8. Modelling and Forecasting Financial
Times Series. Introduction. ARCH and GARCH. Multivariate GARCH. Estimation
and Testing. An Empirical Application of ARCH and GARCH Models. ARCH-M.
Asymmetric GARCH Models. Integrated and Fractionally Integrated GARCH
Models. Conditional Heteroscedasticity, Unit Roots and Cointegration.
Forecasting with GARCH Models. Further Methods for Forecast Evaluation.
Conclusions on Modelling and Forecasting Financial Time Series. Appendix:
Cointegration Analysis Using the Johansen Technique: A Practitioner's Guide
to PcGive 10.1. Statistical Appendix. References. Index.