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Applied Econometric Time Series, 2nd Edition | 
 enlarge | Author: Walter Enders
Publisher: Wiley
Category: Book
Buy New: $47.08
New (37) Used (21) from $44.90
Rating:  13 reviews
Sales Rank: 243845
Media: Hardcover
Edition: 2
Pages: 480
Number Of Items: 1
Shipping Weight (lbs): 1.5
Dimensions (in): 9.1 x 6.1 x 0.9
ISBN: 0471230650
Dewey Decimal Number: 330.01519232
EAN: 9780471230656
Publication Date: August 1, 2003
Availability: Usually ships in 1-2 business days
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Product Description
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.
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| Customer Reviews: Read 8 more reviews...
 An understandable and fun introduction to time series April 7, 2001
Daniel Ventosa S (Marseille, France)
34 out of 35 found this review helpful
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".
Practical book on time series econometrics March 29, 2005
frank lindemann
7 out of 7 found this review helpful
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.
Excellent as a practical quide - a must have handbook - recent development are here too February 4, 2006
Z. Simkins
3 out of 3 found this review helpful
I bought this book as an introductory reading to time series. And found it very easy to understand, both the theoretical explanations and practical applications. I think it is a "must have handbook" for any economics student. The last edition also covers the recent panel unit root tests, not the 2nd generation ones but Im, Pesaran, Shin panel test is explanained pretty well. Graphical illustrations of series and visual detection of possible problems are nice for beginners. Also, shows how to analyze data step-by-step with plenty of examples. In overall I think it is a great investment for those doing empirical studies and/or starting to learn/work with time series.
Good intro and review of the material March 9, 2006
grouchy (exiled into purgatory. for real.)
3 out of 3 found this review helpful
Having read a few books on time series analysis, Enders provides the best introduction to the area. The approach is simple and practically oriented. Explaining the basics of the area with limited use of math is beneficial. With this area developing so rapidly, a new, updated edition would be a welcome book on my shelf.
Excellent book for beginners in time-series analysis December 22, 1998
15 out of 15 found this review helpful
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.
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