Dynamic Econometrics Models with SAS, Stata, and EViews

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Dynamic Econometrics Models with SAS, Stata, and EViews

Cesar Lopez

ISBN10: 1484202872

ISBN13: 978-1484202872

Dynamic Econometrics Models with SAS, Stata, and EViews

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Dynamic Econometrics Models with SAS, Stata, and EViews covers a wide array of dynamic econometrics models, including models with distributed delays, models with stochastic regressors, models with structural change, and dynamic panel data models. You'll discover core information and solutions around the theory of unit roots, co-integration, and error correction models. This book offers a practical, hands-on treatment of these models from multiple perspectives, so you'll find examples and solutions using SAS, Stat and EViews - the major solutions on the market to solve these non-trivial econometric tasks.

 

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title Dynamic Econometrics Models with SAS, Stata, and EViews
authors Cesar Perez Lopez
publisher Apress
publishedDate 2015-03-04
description Dynamic Econometrics Models with SAS, Stata, and EViews covers a wide array of dynamic econometrics models, including models with distributed delays, models with stochastic regressors, models with structural change, and dynamic panel data models. You'll discover core information and solutions around the theory of unit roots, co-integration, and error correction models. This book offers a practical, hands-on treatment of these models from multiple perspectives, so you'll find examples and solutions using SAS, Stat and EViews - the major solutions on the market to solve these non-trivial econometric tasks. You'll begin by learning about dynamic models such as those with delays in exogenous variables, and those with delays in the endogenous variable, and each of these simultaneously. Special types of dynamic econometric models are also explored, including finite distributed delays, and infinite distributed delays. In particular, you'll work with EViews to explore these initial dynamic econometric models. Then stable econometric models are considered and those with structural change, including time constant parameters, and you'll examine the Chow prediction test, recursive models, and CUSUM and CUSUMQ tests. Once you've explored stable models, you'll learn more about unstable models, including spurious regressions, stationary time series, seasonality detection, and unit roots test, including the Dickey-Fuller Unit Roots Tests, and the Phillips-Perron Unit Roots Test. Error correction models (ECM), Unit roots and co-integration in seasonal series are explored with both EViews and Stata, following practical examples and exercises. In the final section of this book, panel data models are considered, with constant coeffecients, and fixed effects. Dynamic panel data models, Logit and Probit panel data models are also examined using EViews and SAS. You will also see EViews in action with panel data and the Arellano and Bond methodology. What you’ll learn An introduction to Dynamic Econometric Models Special types of Dynamic Models Using EViews and specific dynamic models EViews and dynamic models with stochastic regressors Using SAS and dynamic econometric models Stable econometric models, including time constant parameters Using the Chow Prediction test with SAS, Stat and EViews Recursive models, and the CUSUM and CUSUMQ tests Unstable models and spurious regressions Unit roots tests, including Dickey-Fuller and Phillips-Perron Error Correction Models Stationary and Seasonal models with EViews Unit roots with Stata Panel data models and dynamic panels Logit and Probit panel data models Who this book is for For those who use SAS, Stata or EViews, this is a handy reference. For quants, researchers, economists, business consulting, risk managers these are tools that should be known to you which is the purpose of this book.
pageCount 180
printType BOOK
categories Computers
maturityRating NOT_MATURE
panelizationSummary
language en
canonicalVolumeLink https://books.google.com/books/about/Dynamic_Econometrics_Models_with_SAS_Sta.html?hl=&id=DN7GoQEACAAJ

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