Overview

This book focuses on in-depth treatment of predictive econometric models. The most important content is as follows: - Conditional Mean Models - Specify Conditional Mean Models Using ARIMA - Autoregressive Model - AR Model Specifications - Moving Average Model - MA Model Specifications - Autoregressive Moving Average Model - ARMA Model Specifications - ARIMA Model Specifications - Multiplicative ARIMA Model - Multiplicative ARIMA Model Specifications - ARIMA Model Including Exogenous Covariates - ARIMAX Model Specifications - Impulse Response Function - Box-Jenkins Differencing vs. ARIMA Estimation - Monte Carlo Simulation of Conditional Mean Models - Monte Carlo Forecasting of Conditional Mean Models - MMSE Forecasting of Conditional Mean Models - Parametric Regression Analysis - Linear Regression with Interaction Effects - Linear Regression Output and Diagnostic Statistics - Stepwise Regression - Robust Regression - Ridge Regression - Partial Least Squares PLS - Generalized Linear Models - Poissin Regression - Logistic Regression - Probit Regression - Nonlinear Regression

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9781539672609

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