Rats Handbook to Accompany Introductory Econometrics for Finance

ISBN-13: 9780521896955 / Angielski / Twarda / 2008 / 214 str.

Chris Brooks

Opis

An introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond.

Spis treści

Preface; 1. Introduction; 2. The classical linear regression model; 3. Further development and analysis of the classical linear regression model; 4. Diagnostic testing; 5. Formulating and estimating ARMA models; 6. Multivariate models; 7. Modelling long-run relationships; 8. Modelling volatility and correlation; 9. Switching models; 10. Panel data; 11. Limited dependent variable models; 12. Simulations methods; References; Index.