1 Initial Tasks and Overview 1
Helmut L¨utkepohl
1.1 Introduction 1
1.2 Setting Up an Econometric Project 2
1.3 Getting Data 3
1.4 Data Handling 5
1.5 Outline of Chapters 5
2 Univariate Time Series Analysis 8
Helmut L¨utkepohl
2.1 Characteristics of Time Series 8
2.2 Stationary and Integrated Stochastic Processes 11
2.2.1 Stationarity 11
2.2.2 Sample Autocorrelations, Partial Autocorrelations,
and Spectral Densities 12
2.2.3 Data Transformations and Filters 17
2.3 Some Popular Time Series Models 22
2.3.1 Autoregressive Processes 22
2.3.2 Finite-Order Moving Average Processes 25
2.3.3 ARIMA Processes 27
2.3.4 Autoregressive Conditional Heteroskedasticity 28
2.3.5 Deterministic Terms 30
2.4 Parameter Estimation 30
2.4.1 Estimation of AR Models 30
2.4.2 Estimation of ARMA Models 32
2.5 Model Specification 33
xii Contents
5.3.1 Alternative Model Specifications 214
5.3.2 Estimation of Multivariate GARCH Models 217
5.3.3 Extensions 218
5.3.4 Continuing the Empirical Illustration 220
6 Smooth Transition Regression Modeling 222
Timo Ter¨asvirta
6.1 Introduction 222
6.2 The Model 222
6.3 The Modeling Cycle 225
6.3.1 Specification 225
6.3.2 Estimation of Parameters 228
6.3.3 Evaluation 229
6.4 Two Empirical Examples 234
6.4.1 Chemical Data 234
6.4.2 Demand for Money (M1) in Germany 238
6.5 Final Remarks 242
7 Nonparametric Time Series Modeling 243
Rolf Tschernig
7.1 Introduction 243
7.2 Local Linear Estimation 245
7.2.1 The Estimators 245
7.2.2 Asymptotic Properties 248
7.2.3 Confidence Intervals 250
7.2.4 Plotting the Estimated Function 251
7.2.5 Forecasting 254
7.3 Bandwidth and Lag Selection 254
7.3.1 Bandwidth Estimation 256
7.3.2 Lag Selection 258
7.3.3 Illustration 261
7.4 Diagnostics 262
7.5 Modeling the Conditional Volatility 263
7.5.1 Estimation 264
7.5.2 Bandwidth Choice 265
7.5.3 Lag Selection 266
7.5.4 ARCH Errors 267
7.6 Local Linear Seasonal Modeling 268
7.6.1 The Seasonal Nonlinear Autoregressive Model 269
7.6.2 The Seasonal Dummy Nonlinear Autoregressive
Model 270
7.6.3 Seasonal Shift Nonlinear Autoregressive Model 271
Contents xiii
7.7 Example I: Average Weekly Working Hours in the United
States 272
7.8 Example II: XETRA Dax Index 280
8 The Software JMulTi 289
Markus Kr¨atzig
8.1 Introduction to JMulTi 289
8.1.1 Software Concept 289
8.1.2 Operating JMulTi 290
8.2 Numbers, Dates, and Variables in JMulTi 290
8.2.1 Numbers 290
8.2.2 Numbers in Tables 291
8.2.3 Dates 291
8.2.4 Variable Names 292
8.3 Handling Data Sets 292
8.3.1 Importing Data 292
8.3.2 Excel Format 292
8.3.3 ASCII Format 293
8.3.4 JMulTi .dat Format 293
8.4 Selecting, Transforming, and Creating Time Series 293
8.4.1 Time Series Selector 293
8.4.2 Time Series Calculator 295
8.5 Managing Variables in JMulTi 296
8.6 Notes for Econometric Software Developers 296
8.6.1 General Remark 296
8.6.2 The JStatCom Framework 297
8.6.3 Component Structure 297
8.7 Conclusion 299
References 301 |
