Written to complement the second edition of best-selling textbook Introductory Econometrics for Finance, this book provides a comprehensive introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond. It provides numerous worked examples with carefully annotated code and detailed explanations of the outputs, giving readers the knowledge and confidence to use the software for their own research and to interpret their own results. A wide variety of important modelling approaches are covered, including such topics as time-series analysis and forecasting, volatility modelling, limited dependent variable and panel methods, switching models and simulations methods. The book is supported by an accompanying website containing freely downloadable data and RATS instructions.
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Preface; 1. Introduction; 2. The classical linear regression model; 3. Further development and analysis of the classical linear regression model; 4. Diagnostic testing; 5. Formulating and estimating ARMA models; 6. Multivariate models; 7. Modelling long-run relationships; 8. Modelling volatility and correlation; 9. Switching models; 10. Panel data; 11. Limited dependent variable models; 12. Simulations methods; References; Index.
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An introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond.
Produktdetaljer
ISBN
9780521721684
Publisert
2008-11-06
Utgiver
Vendor
Cambridge University Press
Vekt
480 gr
Høyde
246 mm
Bredde
189 mm
Dybde
14 mm
Aldersnivå
P, 06
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
213
Forfatter