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RATS handbook to accompany introductory econometrics for finance / Chris Brooks.
- Format:
- Book
- Author/Creator:
- Brooks, Chris, 1971- author.
- Language:
- English
- Subjects (All):
- Finance--Econometric models.
- Finance.
- Finance--Mathematical models.
- Regression analysis--Data processing.
- Regression analysis.
- Econometrics.
- Physical Description:
- 1 online resource (xii, 201 pages) : digital, PDF file(s).
- Place of Publication:
- Cambridge : Cambridge University Press, 2009.
- Language Note:
- English
- Summary:
- Written to complement the second edition of best-selling textbook Introductory Econometrics for Finance, this book provides a comprehensive introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond. It provides numerous worked examples with carefully annotated code and detailed explanations of the outputs, giving readers the knowledge and confidence to use the software for their own research and to interpret their own results. A wide variety of important modelling approaches are covered, including such topics as time-series analysis and forecasting, volatility modelling, limited dependent variable and panel methods, switching models and simulations methods. The book is supported by an accompanying website containing freely downloadable data and RATS instructions.
- Contents:
- Introduction
- The classical linear regression model
- Further development and analysis of the classical linear regression model
- Diagnostic testing
- Formulating and estimating ARMA models
- Multivariate models
- Modelling long-run relationships
- Modelling volatility and correlation
- Switching models
- Panel data
- Limited dependent variable models
- Simulation methods.
- Notes:
- Title from publisher's bibliographic system (viewed on 05 Oct 2015).
- Includes bibliographical references (p. 195-197) and index.
- ISBN:
- 1-107-20180-2
- 0-511-81408-9
- 0-511-65022-1
- 0-511-45477-5
- 0-511-57440-1
- 0-511-45580-1
- OCLC:
- 437240846
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