Applied Econometric Times Series Book

Ch. 1	Difference Equations	1
1	Time-Series Models	2
2	Difference Equations and Their Solutions	7
3	Solution by Iteration	10
4	An Alternative Solution Methodology	16
5	The Cobweb Model	20
6	Solving Homogeneous Difference Equations	25
7	Finding Particular Solutions for Determimstic Processes	35
8	The Method of Undetermined Coefficients	38
9	Lag Operators	45
10	Forward-Versus Backward-Looking Solutions	48
Ch. 2	Stationary Time-Series Models	63
1	Stochastic Difference Equation Models	63
2	ARMA Models	67
3	Stationarity	68
4	Stationarity Restrictions for an ARMA(p, q) Model	72
5	The Autocorrelation Function	78
6	The Partial Autocorrelation Function	82
7	Sample Autocorrelations of Stationary Series	86
8	Box-Jenkins Model Selection	95
9	The Forecast Function	99
10	A Model of the WPI	106
11	Seasonality	111
Ch. 3	Modeling Economic Time Series: Trends and Volatility	135
1	Economic Time Series: The Stylized Facts	135
2	ARCH Processes	139
3	ARCH and GARCH Estimates of Inflation	149
4	Estimating a GARCH Model of the WPI: An Example	152
5	A GARCH Model of Risk	156
6	The ARCH-M Model	158
7	Maximum Likelihood Estimation of GARCH and ARCH-M Models	162
8	Deterministic and Stochastic Trends	166
9	Removing the Trend	176
10	Are There Business Cycles?	181
11	Stochastic Trends and Univariate Decompositions	185
Ch. 4	Testing for Trends and Unit Roots	211
1	Unit Root Processes	212
2	Dickey-Fuller Tests	221
3	Extensions of the Dickey-Fuller Tests	225
4	Examples of the Augmented Dickey-Fuller Test	233
5	Phillips-Perron Tests	239
6	Structural Change	243
7	Problems in Testing for Unit Roots	251
Ch. 5	Multiequation Time-Series Models	269
1	Intervention Analysis	270
2	Transfer Function Models	277
3	Estimating a Transfer Function	286
4	Limits to Structural Multivariate Estimation	291
5	Introduction to VAR Analysis	294
6	Estimation and Identification	300
7	The Impulse Response Function	305
8	Hypothesis Testing	312
9	Example of a Simple VAR: Terrorism and Tourism in Spain	316
10	Structural VARs	320
11	Examples of Structural Decompositions	324
12	The Blanchard and Quah Decomposition	331
13	Decomposing Real and Nominal Exchange Rate Movements: An Example	338
Ch. 6	Cointegration and Error-Correction Models	355
1	Linear Combinations of Integrated Variables	356
2	Cointegration and Common Trends	363
3	Cointegration and Error Correction	365
4	Testing for Cointegration: The Engle-Granger Methodology	373
5	Illustrating the Engle-Granger Methodology	377
6	Cointegration and Purchasing-Power Parity	381
7	Characteristic Roots, Rank, and Cointegration	385
8	Hypothesis Testing in a Cointegration Framework	393
9	Illustrating the Johansen Methodology	396
10	Generalized Purchasing-Power Parity	400
	Statistical tables A. Empirical Distributions of the [tau] Statistics	419
	Statistical tables B. Empirical Distributions of the [phi] Statistics	420
	Statistical tables C. Empirical Distributions of the [lambda[subscript max]] and [lambda[subscript trace]] Statistics	421
	References	423
	Author Index	427
	Subject Index	429