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Contents
Table of Contents
Book Order Form
Table of Contents
Part I: Prologue
1. Introduction to Volume III
1.1 The PcGive system
1.2 Citation
1.3 World Wide Web
Part II: Volatility Models (GARCH) (with H. Peter Boswijk and Marius Ooms)
2. Introduction to Volatility Models (GARCH)
2.1 Introduction
3. Tutorial on GARCH Modelling
3.1 Estimating a GARCH(1,1) model
3.2 Evaluating the GARCH(1,1) model
3.3 Recursive estimation of the GARCH(1,1) model
3.4 GARCH(1,1) with regressors in the variance equation
3.5 GARCH(1,1) with Student t-distributed errors
3.6 EGARCH(1,1) GED-distributed errors
3.7 GARCH in mean
3.8 Asymmetric threshold GARCH
3.9 GARCH batch usage
4. GARCH Implementation Details
4.1 GARCH model settings
4.2 Some implementation details
4.3 GARCH batch commands
Part III: Limited Dependent Models (LogitJD)
5. Discrete Choice Models
5.1 Introduction
5.2 Binary discrete choice
5.3 The binary logit and probit model
5.4 Multinomial discrete choice
5.5 Evaluation
5.6 Histograms
5.7 Norm observations
5.8 Observed versus predicted
5.9 Outlier analysis
6. Tutorial on Discrete Choice Modelling
6.1 Introduction
6.2 Data organization
6.3 Binary logit estimation
6.4 Binary probit estimation
6.5 Grouped logit estimation
6.6 Multinomial logit estimation
6.7 Conditional logit estimation
Part IV: Panel Data Models (DPD) (with Manuel Arellano and Stephen Bond)
7. Panel Data Models
7.1 Introduction
7.2 Econometric methods for static panel data models
7.3 Econometric methods for dynamic panel data models
8. Tutorial on Static Panel Data Modelling
8.1 Introduction
8.2 Data organization
8.3 Static panel data estimation
9. Tutorial on Dynamic Panel Data Modelling
9.1 Introduction
9.2 Data organization
9.3 One-step GMM estimation
9.4 Two-step GMM estimation
9.5 IV estimation
9.6 Combined GMM estimation
10. Panel Data Implementation Details
10.1 Transformations
10.2 Static panel-data estimation
10.3 Dynamic panel data estimation
10.4 Dynamic panel data, combined estimation
10.5 Panel batch commands
Part V: Time Series Models (ARFIMA) (with Marius Ooms)
11. Introduction to Time Series Models (ARFIMA)
12. Tutorial on ARFIMA Modelling
13. ARFIMA Implementation Details
13.1 Introduction
13.2 The Arfima model
13.3 Estimation
13.4 Estimation output
13.5 Estimation options
13.6 Forecasting
13.7 ARFIMA batch commands
Part VI: X12arima for OxMetrics
14. Overview of X12arima for Oxmetrics
14.1 Introduction
14.2 X-12-ARIMA
14.3 Credits
14.4 Disclaimer
14.5 Limitations
14.6 Documentation
14.7 Census X-11 Seasonal Adjustment
14.8 X-12-ARIMA Seasonal Adjustment
14.9 regARIMA
14.10 X12arima menu commands
15. Tutorial on Seasonal Adjustment with X12arima for Oxmetrics
15.1 Introduction
15.2 Batch usage
16. Tutorial on ARIMA Modelling with X12arima for Oxmetrics
16.1 Introduction
16.2 regARIMA Model Example
17. Batch Usage
17.1 Additional Batch Commands
17.2 Specification Syntax, Additions and Differences
References
Author Index
Subject Index
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