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Applied Econometric Time Series

Applied Econometric Time Series
Author: Walter Enders
ISBN 13: 9780470505397
ISBN 10: 470505397
Edition: 3
Publisher: Wiley
Publication Date: 2009-11-02
Format: Hardcover
Pages: 544
List Price: N/A

Accessible & Modern Techniques for Time-Series Analysis

Assuming only a basic understanding of multiple regression analysis, this classic introduction to time-series analysis shows how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using modern techniques. Numerous real-world examples from fields ranging from agricultural economics to transnational terrorism further illustrate the various techniques.

This new edition reflects both sound structure and recent advances in time-series econometrics, such as out-of-sample forecasting techniques, nonlinear time-series models, Monte Carlo analysis, and bootstrapping.


  • New discussion of parameter instability and structural breaks including tests for endogenous breaks.

  • New coverage of developments in cointegration tests and in unit root tests.

  • Improved discussions on out-of-sample forecasting methods and multivariate GARCH models.

  • Numerous illustrations of key concepts and detailed example using real-world data.

  • Step-by-step approach to time-series estimation.

  • Additional questions and empirical exercises that enable students to practice the techniques covered in the test. Data sets are available on the text’s companion Web site.

  • Emphasizes difference equations as the foundation of all time-series models.


A review of recent advances in time series analysis, providing a balance between macro and microeconomic application and using examples drawn from agricultural economics, international finance, and transnational terrorism. Emphasizes the importance of difference equations, and assumes some background in multiple regression analysis. Software packages such as RATS, SAS, or SHAZAM are necessary to work through the exercises. A data disk with computer programs accompanies the Instructor's Manual. Annotation c. Book News, Inc., Portland, OR (booknews.com)