Applied Econometric Time Series: User's Guide

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.

Applied Econometric Time Series by Walter Enders of Iowa State University This accessible and comprehensive review of the most recent advances in time series analysis requires some background in multiple regression analysis. Text examples provide a balance between macro and microeconomic applications and are drawn from varied sources including agricultural economics, international finance, and transnational terrorism. This ground-breaking new title is part of the prestigious "Wiley Series in Probability and Statistics." Intended for Masters/Ph.D. courses in Time Series Analysis, Methods or Econometrics, Econometrics II or III, or Advanced Macroeconomics found in departments of Economics, Statistics, Mathematics, Management Science or Industrial Engineering. Features:
* Difference equations are used as the building blocks of all time series models (Chs. 1 & 2).
* Emphasizes non-stationary time series to aid applied research (Chs. 3, 4, & 6).
* Many techniques are illustrated with detailed examples from current international finance literature. For example, purchasing power parity illustrates unit root tests and cointegration.
* Includes intriguing examples concerning econometric models of transnational terrorism.
* Detailed examples of each procedure are provided including a step-by-step summary of each of the procedure's stages.
* Includes problems for each chapter and data is supplied on disk for all end of chapter exercises.