RATS Handbook to Accompany Introductory Econometrics for Finance

An introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond.

Chris Brooks (Author)

9780521896955, Cambridge University Press

Hardback, published 6 November 2008

214 pages, 11 b/w illus.
25.3 x 19.3 x 1.8 cm, 0.64 kg

Written to complement the second edition of best-selling textbook Introductory Econometrics for Finance, this book provides a comprehensive introduction to the use of the Regression Analysis of Time Series (RATS) software for modelling in finance and beyond. It provides numerous worked examples with carefully annotated code and detailed explanations of the outputs, giving readers the knowledge and confidence to use the software for their own research and to interpret their own results. A wide variety of important modelling approaches are covered, including such topics as time-series analysis and forecasting, volatility modelling, limited dependent variable and panel methods, switching models and simulations methods. The book is supported by an accompanying website containing freely downloadable data and RATS instructions.

Preface
1. Introduction
2. The classical linear regression model
3. Further development and analysis of the classical linear regression model
4. Diagnostic testing
5. Formulating and estimating ARMA models
6. Multivariate models
7. Modelling long-run relationships
8. Modelling volatility and correlation
9. Switching models
10. Panel data
11. Limited dependent variable models
12. Simulations methods
References
Index.

Subject Areas: Finance & accounting [KF], Economic statistics [KCHS], Econometrics [KCH]