Applied Time Series Modelling & Forecasting

Preface.
 
1. Introduction and Overview.
 
Some Initial Concepts.
 
Forecasting.
 
Outline of the Book.
 
2. Short- and Long-run Models.
 
Long-run Models.
 
Stationary and Non-stationary Time Series.
 
Spurious Regressions.
 
Cointegration.
 
Short-run Models.
 
Conclusion.
 
3. Testing for Unit Roots.
 
The Dickey-Fuller Test.
 
Augmented Dickey-Fuller Test.
 
Power and Level of Unit Root Tests.
 
Structural Breaks and Unit Root Tests.
 
Seasonal Unit Roots.
 
Structural Breaks and Seasonal Unit Root Tests.
 
Periodic Integration and Unit Root-testing.
 
Conclusion on Unit Root Tests.
 
4. Cointegration in Single Equations.
 
The Engle-Granger (EG) Approach.
 
Testing for Cointegration with a Structural Break.
 
Alternative Approaches.
 
Problems with the Single Equation Approach.
 
Estimating the Short-run Dynamic Model.
 
Seasonal Cointegration.
 
Periodic Cointegration.
 
Asymmetric Tests for Cointegration.
 
Conclusion s.
 
5. Cointegration in Multivariate Systems.
 
The Johansen Approach.
 
Testing the Order of Integration of the Variables.
 
Formulation of the Dynamic Model.
 
Testing for Reduced Rank.
 
Deterministic Components in the Multivariate Model.
 
Testing of Weak Exogeneity and VECM with Exogenous I (l) Variables.
 
Testing for Linear Hypotheses on Cointegration Relations.
 
Testing for Unique Cointegration Vectors.
 
Joint Tests of Restrictions on alpha and Seasonal Unit Roots.
 
Seasonal Cointegration.
 
Conclusions.
 
Appendix 1: Programming in SHAZAM.
 
6. Modelling the Short-run Multivariate System.
 
Introduction.
 
Estimating the Long-run Cointegration Relationships.
 
Parsimonious VECM.
 
Conditional

Richard Harris is a Professor in the Department of Economics and Finance at the University of Durham. His areas of research are in the field of applied econometrics and he has published widely in numerous journals.
 
Robert Sollis is a Lecturer in the Department of Economics and Finance at the University of Durham. His research interests are in time series econometrics with particular focus on nonlinear models for macroeconomic and financial time series.