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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
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 GiveWin
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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