Springer Texts in Business and Economics

Time Series Econometrics

Learning Through Replication

Authors: Levendis, John D.

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  • 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 
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eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-319-98282-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-3-319-98281-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

In this book, the authors reject 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.

About the authors

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.

 

Table of contents (13 chapters)

Table of contents (13 chapters)

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-319-98282-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-3-319-98281-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Time Series Econometrics
Book Subtitle
Learning Through Replication
Authors
Series Title
Springer Texts in Business and Economics
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-319-98282-3
DOI
10.1007/978-3-319-98282-3
Hardcover ISBN
978-3-319-98281-6
Series ISSN
2192-4333
Edition Number
1
Number of Pages
XIII, 409
Number of Illustrations
402 b/w illustrations
Topics