Applied Econometric Time Series, 2nd Edition [Hardcover]

Walter Enders (Author)

Book Description

ISBN-10: 0471230650 | ISBN-13: 978-0471230656 | Publication Date: August 1, 2003 | Edition: 2

Amstat News asked three review editors to rate their top five favorite books in the September 2003 issue. The first edition of Applied Econometric Time Series was among those chosen.

This new edition reflects recent advances in time-series econometrics, such as out-of-sample forecasting techniques, non-linear time-series models, Monte Carlo analysis, and bootstrapping. Numerous examples from fields ranging from agricultural economics to transnational terrorism illustrate various techniques.

Editorial Reviews

Review

Instructor's Manual available. -- The publisher, John Wiley & Sons --This text refers to an out of print or unavailable edition of this title.

From the Publisher

Unique in that it covers modern time series analysis from the sole prerequisite of an introductory course in multiple regression analysis. Describes the theory of difference equations, demonstrating that they are the foundation of all time-series models with emphasis on the Box-Jenkins methodology. Considers many recent developments in time series analysis including unit root tests, ARCH models, cointegration/error-correction models, vector autoregressions and more. There are numerous examples to illustrate various techniques, many of which concern econometric models of transnational terrorism. The accompanying disk provides data for students to work with. --This text refers to an out of print or unavailable edition of this title.

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Product Details

• Hardcover: 480 pages
• Publisher: Wiley; 2 edition (August 1, 2003)
• Language: English
• ISBN-10: 0471230650
• ISBN-13: 978-0471230656
• Product Dimensions: 14.4 x 1.6 x 9.2 inches
• Shipping Weight: 1.5 pounds (View shipping rates and policies)
• Average Customer Review: 4.5 out of 5 stars  See all reviews (16 customer reviews)
• Amazon Best Sellers Rank: #445,048 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

43 of 45 people found the following review helpful:

5.0 out of 5 stars An understandable and fun introduction to time series, April 7, 2001

By 

Daniel Ventosa S (Marseille, France) - See all my reviews

This review is from: Applied Econometric Time Series (Hardcover)

I bought Walter Enders book several years ago, when I was an undergraduate student. It's a nice manual. Perhaps you won't see the statistical demonstration of the unit-root (Dickey-Fuller) test, but you will understand why it doesn't follow a standard probability distribution and you'll know how to use it. It's the same idea with Perron's unit-root with structural change test. The author introduces the reader to the main topics of interest in the time series field; ARIMA, VAR, ARCH, unit roots, cointegration, and distinction between deterministic trends and stochastic trends. This work is done through an understandable and fun text. You will enjoy reading the book. Besides that, the author illustrates each topic with an economic example perfectly presented and, in general, very interesting (business cycles, PPP, foreign exchange Market efficiency, Unit roots in GNP for example). I particularly enjoyed the unit root and the perron's test chapters. I used them a lot in my final work in college. Here, you will have the simplest explanation of ARCH processes. As someone else said, this is only an introductory book (for applied econometricians it should be seen as an excellent and very intuitive cookbook); if you are interested in time series, you can begin here, but you should then reading more advanced books, such as Hamilton's Time Series Analysis. A great combination of introductory manuals can be achieved if you have Johnston and Dinardo "Econometric models".

20 of 20 people found the following review helpful:

5.0 out of 5 stars Excellent book for beginners in time-series analysis, December 21, 1998

By A Customer

This review is from: Applied Econometric Time Series (Hardcover)

This book is without a doubt the most readable text one can find on time-series analysis for the breadth of coverage it contains. For those hopelessly lost in the matrix and vector notation of Hamilton's "Time-Series Analysis," Enders' book should give you the understanding you need to begin studying Hamilton in earnest. Enders' book contains some terrific examples of impulse response functions and VAR (vector autoregression) analysis that you won't find in Hamilton.

The only down side to Enders book is that it isn't really complete. There are a number of topics, such as the Kalman filter, that Enders could have done an outstanding presentation of, but didn't. Hopefully, he will reconsider such topics for later editions. Meanwhile, the beginning student is unlikely to regret their purchase of his first edition.

14 of 15 people found the following review helpful:

5.0 out of 5 stars Practical book on time series econometrics, March 28, 2005

By 

frank lindemann - See all my reviews
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Amazon Verified Purchase

This review is from: Applied Econometric Time Series, 2nd Edition (Hardcover)

I am a Financial Engineer working primarily in risk management. Over the past few months I've had to study up on time series-related topics (both GARCH and cointegration-based analyses). This book is excellent for someone who needs to find time-series information and then apply it to a problem in a hurry. The explanations are clear and intuitive, yet mathematically precise. There are plenty of examples on how to apply techniques to real world problems, including lucid discussions of the proper statistical tests to use for the various methodologies.

Like many engineers, I often find myself scrambling to find a good source for a model or system component I will have to design, usually under tight time constraints. This is a perfect example of the type of textbook I always hope to find when starting such a task.