capitulo2 applied eco no metrics
TRANSCRIPT
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Applied Econometric Applied Econometric Time SeriesTime SeriesThird EditionThird Edition
Walter Enders, University of Alabama
Copyright © 2010 John Wiley & Sons, Inc.
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CHAPTER 2CHAPTER 2STATIONARY TIME-STATIONARY TIME-SERIESSERIESMODELSMODELS
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1. STOCHASTIC 1. STOCHASTIC DIFFERENCE EQUATION DIFFERENCE EQUATION MODELSMODELS
2. ARMA MODELS2. ARMA MODELS
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3. STATIONARITY3. STATIONARITYStationarity Restrictions for an AR(1) Process
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4. STATIONARITY 4. STATIONARITY RESTRICTIONSRESTRICTIONSFOR AN ARMA(p, q) FOR AN ARMA(p, q) MODELMODELStationarity Restrictions for the Autoregressive Coefficients
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5. THE 5. THE AUTOCORRELATION AUTOCORRELATION FUNCTION FUNCTION
The Autocorrelation Function of an AR(2) Process
The Autocorrelation Function of an MA(1) Process
The Autocorrelation Function of an ARMA(1, 1) Process
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6. THE PARTIAL 6. THE PARTIAL AUTOCORRELATION AUTOCORRELATION FUNCTION FUNCTION
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7. SAMPLE 7. SAMPLE AUTOCORRELATIONSAUTOCORRELATIONSOF STATIONARY SERIESOF STATIONARY SERIES
Model Selection CriteriaEstimation of an AR(1) ModelEstimation of an ARMA(1, 1) Model
Estimation of an AR(2) Model
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8. BOX–JENKINS MODEL 8. BOX–JENKINS MODEL SELECTIONSELECTION
ParsimonyStationarity and InvertibilityGoodness of FitPost-Estimation Evaluation
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9. PROPERTIES OF 9. PROPERTIES OF FORECASTSFORECASTS
Higher-Order ModelsForecast Evaluation
◦The Granger–Newbold Test◦The Diebold-Mariano Test
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10. A MODEL OF THE 10. A MODEL OF THE INTEREST RATE INTEREST RATE SPREADSPREADOut-of-Sample Forecasts
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11. SEASONALITY11. SEASONALITY
Models of Seasonal DataSeasonal Differencing
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12. PARAMETER 12. PARAMETER INSTABILITY AND INSTABILITY AND STRUCTURAL CHANGESTRUCTURAL CHANGE
Testing for Structural ChangeEndogenous BreaksParameter InstabilityAn Example of a Break
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13. SUMMARY AND 13. SUMMARY AND CONCLUSIONSCONCLUSIONS
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APPENDIX 2.1: APPENDIX 2.1: ESTIMATION OF AN ESTIMATION OF AN MA(1) PROCESSMA(1) PROCESS
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APPENDIX 2.2: MODEL APPENDIX 2.2: MODEL SELECTION CRITERIASELECTION CRITERIA
The Finite Prediction Error (FPE) Criterion
The AIC and the SBC