Applied Econometric Time Series (Wiley Series in Probability and Statistics) 4th Edition

This book is extremely well structured and material is all sufficiently detailed. Best as an intermediate econometrics text.Primary topics include:-Difference Equations (characteristic roots, homogenous and particular solutions, lag operators, deterministic vs. stochastic trends, unit roots & Dickey Fuller)-ARMA models (trend vs. difference stationary, autocorrelation functions, Box-Jenkins model selection, Hodrick-Prescott decomposition)-(G)ARCH models (conditional variance, max likelihood, variants like ARCH-M and threshold models, multivariate)-Vector Autoregression (structural vs. reduced-form, impulse response, Choleski & structural decomposition)-Cointegration (error correction models, Engle-Granger & Johansen approaches)-Nonlinear models (RESET, McLeod-Li, threshold and smooth transition models, LSTAR vs. ESTAR, endogenous structural breaks)

This book continues its tradition as the best mix available between formality, intuition an applications of econometric time series, The author's approach of not producing a mega encyclopedic book and his clear expositions of the selected themes is extraordinary.

The most important text for economists who are entering the fabulous world of time series analysis. Clear and simple explanations and many good examples.

so much useful.

This book was delivered in time, looking just as described.

It is a good book for people who are gonna boost their skills in real work.

Hands down best applied econometric time series book out there.

Just read the free preview of the first 20 pages and you will that the author has about as much talent as the average math/stats professor (this is not a compliment). When I read such books what come to my mind is the quote by: David Berlinski, “Black Mischief” (1988)“Our paper became a monograph. When we had completed the details,we rewrote everything so that no one could tell how we came uponour ideas or why. This is the standard in mathematics.”