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Title: Applied Econometric Time Series, 2nd Edition by Walter Enders ISBN: 0-471-23065-0 Publisher: Wiley Text Books Pub. Date: 25 July, 2003 Format: Hardcover Volumes: 1 List Price(USD): $87.95 |
Average Customer Rating: 4.25 (8 reviews)
Rating: 3
Summary: An Elementary Book
Comment: The book is an introduction to time series and covers ARMA, VAR Unit roots and Basic Cointegration, is a good book for people that want learn time series quickly, the book has some elementary theory of time series and many examples and exercises, the computacional problems needs some of RATS ...the book describes time series without advanced mathematics.
Rating: 5
Summary: An understandable and fun introduction to time series
Comment: I bought Walter Enders book several years ago, when I was an undergraduate student. It's a nice manual. Perhaps you won't see the statistical demonstration of the unit-root (Dickey-Fuller) test, but you will understand why it doesn't follow a standard probability distribution and you'll know how to use it. It's the same idea with Perron's unit-root with structural change test. The author introduces the reader to the main topics of interest in the time series field; ARIMA, VAR, ARCH, unit roots, cointegration, and distinction between deterministic trends and stochastic trends. This work is done through an understandable and fun text. You will enjoy reading the book. Besides that, the author illustrates each topic with an economic example perfectly presented and, in general, very interesting (business cycles, PPP, foreign exchange Market efficiency, Unit roots in GNP for example). I particularly enjoyed the unit root and the perron's test chapters. I used them a lot in my final work in college. Here, you will have the simplest explanation of ARCH processes. As someone else said, this is only an introductory book (for applied econometricians it should be seen as an excellent and very intuitive cookbook); if you are interested in time series, you can begin here, but you should then reading more advanced books, such as Hamilton's Time Series Analysis. A great combination of introductory manuals can be achieved if you have Johnston and Dinardo "Econometric models".
Rating: 4
Summary: a good place to start
Comment: This is the best place to start to learn time series econometrics for anyone who has in his background only basic econometrics, calculus and matrix algebra. The reason is that Enders makes very complicated subject to look rather simple. This book shows how and why time-series is different from standard econometrics. It covers a lot of models employed in time series: ARMA, VAR, Unit Roots, Cointegration and Error-Correction. It proposes simple strategies that applied researchers can follow making their treatment of time-series more or less adequate. However, you would underestimate complexity of time series after reading this book. I would recommend to combine it at least with Hamilton's book.
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Title: Time Series Analysis by James Douglas Hamilton ISBN: 0691042896 Publisher: Princeton Univ Pr Pub. Date: 11 January, 1994 List Price(USD): $85.00 |
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Title: RATS: Handbook for Econometric Time Series by Walter Enders ISBN: 0471148946 Publisher: Wiley Text Books Pub. Date: 13 February, 1996 List Price(USD): $34.95 |
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Title: Unit Roots, Cointegration, and Structural Change by G. S. Maddala, In-Moo Kim, Peter C. B. Phillips, Christian Gourieroux, Michael Wickens ISBN: 0521587824 Publisher: Cambridge University Press Pub. Date: 21 January, 1999 List Price(USD): $35.00 |
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Title: Econometric Analysis by William H. Greene, William H Greene ISBN: 0130661899 Publisher: Prentice Hall Pub. Date: 22 August, 2002 List Price(USD): $130.00 |
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Title: Econometric Analysis of Cross Section and Panel Data by Jeffrey M. Wooldridge ISBN: 0262232197 Publisher: MIT Press Pub. Date: 01 October, 2001 List Price(USD): $75.00 |
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