Overview
- Facilitates a practical understanding of financial econometrics by having students work through classic texts in economics and finance, using the original data and replicating their results
- Encourages students to interact with classic texts in economics, rather than just read them
- Provides several worked-out examples that enable a more hands-on approach to learning the subject matter
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Texts in Business and Economics (STBE)
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Table of contents (14 chapters)
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Front Matter
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Back Matter
Keywords
About this book
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results.
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.
Authors and Affiliations
About the author
John Levendis is an Associate Professor of Economics at Loyola University New Orleans, and is the Dr. John V. Connor Professor of Economics and Finance. Professor Levendis earned his Ph.D. in Economics from the University of Iowa. He has taught at Cornell College, the Economics University of Prague, the University of Iowa, and Southeastern Louisiana University.
Bibliographic Information
Book Title: Time Series Econometrics
Book Subtitle: Learning Through Replication
Authors: John D. Levendis
Series Title: Springer Texts in Business and Economics
DOI: https://doi.org/10.1007/978-3-319-98282-3
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer Nature Switzerland AG 2018
eBook ISBN: 978-3-319-98282-3Published: 31 January 2019
Series ISSN: 2192-4333
Series E-ISSN: 2192-4341
Edition Number: 1
Number of Pages: XIII, 409
Number of Illustrations: 403 b/w illustrations
Topics: Econometrics, Statistics for Business, Management, Economics, Finance, Insurance, Macroeconomics/Monetary Economics//Financial Economics