Product Description

Enders continues to provide business professionals with an accessible introduction to time–series analysis. He clearly shows them how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using the latest techniques. The third edition includes new discussions on parameter instability and structural breaks as well as out–of–sample forecasting methods. New developments in unit root test and cointegration tests are covered. Multivariate GARCH models are also presented. In addition, several statistical examples have been updated with real–world data to help business professionals understand the relevance of the material.

Product Details

• Amazon Sales Rank: #156174 in Books
• Published on: 2009-11-24
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 517 pages

From the Back Cover
Modern Techniques for Modern Time–Series Analysis!

Assuming only a basic understanding of multiple regression analysis, the accessible introduction to time–series analysis shows how to develop models capable of forecasting, interpreting, and testing hypotheses concerning economic data using modern techniques.

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

Features:

• Detailed example using real–world data illustrate key concepts.
• Present a straightforward, step–by–step approach to time–series estimation.
• A large number of questions and empirical exercises enable you to practice the techniques covered in the text.
• Data sets are available on the text’s Web site.
• Emphasizes difference equations as the foundation of all time–series models.

About the Author
Walter Enders, is the Lee Bidgood Chair of Economics at the University of Alabama. He received his doctorate in economics from Columbia University in New York. His research focuses on time–series econometrics with a special emphasis on the dynamic aspects of terrorism. He has published over fifty articles including those in the American Economic Review, the American Political Science Review, and the Journal of Business and Economics Statistics.

Customer Reviews

Making Time Series Seem So Easy (and Fun!)
In all the years I have studied Econometrics , there is no other book that explains complex and challenging statistics as well as Enders'. The strength of the book comes from three key qualities.

First, it assumes very little initial knowledge of the reader. It has an excellent first chapter on difference equations, which serves as an excellent and comprehensive primer, equipping the reader with a mathematical toolbox before wading into the TS analysis proper.

Second, unlike many math/stat textbooks, it carries the reader through the proofs with few gaps in the calculations, which is vital to the weaker students if they are not to become lost.

Thirdly, the book is full of examples, which are not only very useful in helping to understand the theory and practicality issues of the subject at hand, but it also sheds light on how TS analysis is helping to sovle some of the key economic issues of the day (e.g. Business Cycles).

If I was to have any criticism with this book, it is that it does leave out some important areas of TS analysis. For example, it does omit the use of kalman filters and it does not consider the frequency domain.

But these are small niggles. The overwhelming thought as I read it was 'Gosh! this author is simply amazing' - he seems to have an almost zen-like understanding of the subject matter at hand. Furthermore, he communicates the elegance of TS, which really makes it a delight to read. I wish he taught me when I was at college.

Application of most time series models
What I found frustrating about most book that are on the market for time series economics is that they do not deal with the detailed mathematicals steps involved in the estimation of the parameters, the possible statistical tests, or issues concerning stability or inversibility. This book is great in the sense that it is clear and explains the calculations involved. Even if the best book I know in the subject is by Hamilton (Time Series Analysis) this one would rank number two.

For the more interested reader
It's hard to review an econometrics textbook, mainly as "how good" it is depends on the background of the reader. For me, this book is a bit of bible, sitting somewhere between the advanced undergraduate and introductory postgraduate level for economics students looking for a bit more detail on econometric methods. Enders explainations of quite complex models are truely well thought out, in parts there's a definite attempt to keep the economics student thinking about interpretation whilst also demonstrating the steps involved in estimation.

It is limited in scope, there is no mention of any spectral methods for example. One aim of this book is to prepare students for serious study of the econometric literature - an objective that is sadly not achieved. In reality that requires Enders text is studied along side a more statistical time series book ("An introduction to Time Series Analysis" by Chatfield being a good example).

It's difficult to write a relatively harsh review about this book, because I genuiely like it. It's just a case that whilst this book enhances a stuents knowledge of econometrics it lacks the statistical backbone required for any serious postgraduate study in the area.