Time Series Econometrics

Learning Through Replication

  • John D.┬áLevendis

Part of the Springer Texts in Business and Economics book series (STBE)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. John D. Levendis
    Pages 1-10
  3. John D. Levendis
    Pages 11-46
  4. John D. Levendis
    Pages 47-80
  5. John D. Levendis
    Pages 81-99
  6. John D. Levendis
    Pages 101-122
  7. John D. Levendis
    Pages 123-138
  8. John D. Levendis
    Pages 139-170
  9. John D. Levendis
    Pages 171-196
  10. John D. Levendis
    Pages 197-261
  11. John D. Levendis
    Pages 263-310
  12. John D. Levendis
    Pages 311-341
  13. John D. Levendis
    Pages 343-382
  14. John D. Levendis
    Pages 383-387
  15. John D. Levendis
    Pages C1-C1
  16. Back Matter
    Pages 389-409

About this book


In this book, the authors reject the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results.

This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They  then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger.

The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.


econometrics Stata vector autoregression volatility time series analysis financial econometrics ARCH GARCH ARMA

Authors and affiliations

  • John D.┬áLevendis
    • 1
  1. 1.Department of EconomicsLoyola University New OrleansNew OrleansUSA

Bibliographic information

Industry Sectors
Finance, Business & Banking