Book
Time Series Econometrics: Learning Through Replication
Springer Texts in Business and Economics
Second Edition, 2023 | First Edition, 2018
Springer International Publishing | 488 pages
This textbook teaches time series econometrics through replication rather than theorem and proof. Students work through landmark papers in economics and finance — by Granger and Newbold, Nelson and Plosser, Perron, Bollerslev, Sims, Arellano and Bond, and others — using the original data and reproducing published results in Stata. Topics progress from univariate ARMA models through unit root testing, structural breaks, ARCH/GARCH models, vector autoregressions, and static and dynamic panel data models. The book includes many worked examples and data-driven exercises, and is intended for graduate students, advanced undergraduates, and practitioners.
“Learning by doing. This is the ethos of this book. It provides numerous worked out examples along with basic concepts — a fresh, no-nonsense, practical approach that students will love.”
— Professor Sokbae “Simon” Lee, Columbia University; Co-Editor, Econometric Theory; Associate Editor, Econometrics Journal