Enders, Applied Econometric Time Series, 3rd edition
Posted: Thu Jun 28, 2012 1:24 pmThe attached zip has the examples and data files from Enders, Applied Econometric Time Series, 3rd ed, Wiley 2010. This includes a number of topics which are seen in few if any of the other textbook examples, such as seasonal ARMA models, transfer function models, ARMA-GARCH, bootstrapping and threshold models. These rely fairly heavily on RATS procedures such as @BJIDENT, @VARLAGSELECT, @DFUNIT and @JOHMLE.
This book is available for purchase from Estima. For more information, see http://www.estima.com/textbook_enders.shtml
This book is available for purchase from Estima. For more information, see http://www.estima.com/textbook_enders.shtml
enders_3.zip- Zip with programs/data
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| Example | Description | RATS Level |
| endersp058.rpf | Moving average representation (theoretical) | Intermediate |
| endersp072.rpf | ARMA models | Intermediate |
| endersp089.rpf | ARMA models, forecasting | Advanced |
| endersp099.rpf | Seasonal ARMA models | Basic |
| endersp105.rpf | ARMA models;Chow test | Basic |
| endersp107.rpf | Recursive least squares;threshold regression | Intermediate |
| endersp136.rpf | ARCH-GARCH models | Basic |
| endersp137.rpf | ARMA-GARCH model; IGARCH model | Intermediate |
| endersp158.rpf | GARCH; IGARCH; EGARCH; GARCH-M models | Intermediate |
| endersp168.rpf | Multivariate GARCH | Intermediate |
| endersp211.rpf | Unit root test | Intermediate |
| endersp226.rpf | Seasonal unit root test (HEGY) | Intermediate |
| endersp244.rpf | Panel unit root test | Intermediate |
| endersp252.rpf | Beveridge-Nelson decomposition | Intermediate |
| endersp253.rpf | Beveridge-Nelson decomposition | Intermediate |
| endersp265.rpf | Bootstrapping | Intermediate |
| endersp266.rpf | Bootstrapping | Advanced |
| endersp269.rpf | Unit root test | Basic |
| endersp290.rpf | Transfer function model; impulse response to exogenous variable | Intermediate |
| endersp344.rpf | SVAR; Blanchard-Quah factorization | Basic |
| endersp377.rpf | Cointegration; Enders-Granger tests; VECM | Intermediate |
| endersp382.rpf | Cointegration tests; Enders-Granger tests | Intermediate |
| endersp401.rpf | Cointegration, estimation by ML | Advanced |
| endersp409.rpf | Cointegration; Enders-Granger; ML | Advanced |
| endersp448.rpf | Threshold model | Basic |
| endersp450.rpf | Threshold model | Basic |
| endersp451.rpf | Threshold model | Intermediate |
| endersp454.rpf | Threshold model | Intermediate |
| endersp466.rpf | STAR model | Advanced |
| endersp480.rpf | Threshold unit root test; Enders-Granger test | Basic |