Applied Econometric Time Series, 3rd Ed.

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John Wiley & Sons, 3rd edition, 2009

by Walter Enders

Walter Enders' Applied Econometric Time Series text provides a lucid introduction to and discussion of most of the key topics in modern time series econometrics, including stationarity and unit roots, ARIMA models, volatility (ARCH/GARCH) models, cointegration models, and more. It is 460 pages long, hardbound, and is primarily geared towards those taking Masters and PhD courses in time series analysis or advanced econometrics, or for professionals who wish to learn more about time series analysis techniques.

Contents

1. Difference Equations
2. Stationary Time-Series Models
3. Modeling Volatility
4. Models with Trend
5. Multiequation Time-Series Models (Vector Autoregressions)
6. Cointegration and Error-Correction Models
7. Non-linear Time-Series Models

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