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RATS Handbook to Accompany Introductory Econometrics for Finance

$120.00

  • Date Published: December 2008
  • availability: In stock
  • format: Hardback
  • isbn: 9780521896955

$120.00
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  • 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.

    • Provides instructions for writing RATS code with detailed annotation allowing readers to follow commands and modify them to apply to their own data and research questions
    • Screen captures show how to use menus and fill in wizards
    • Includes detailed discussions of outputs from the RATS package giving readers the knowledge and confidence to interpret their own results
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    Product details

    • Date Published: December 2008
    • format: Hardback
    • isbn: 9780521896955
    • length: 214 pages
    • dimensions: 253 x 193 x 18 mm
    • weight: 0.64kg
    • contains: 11 b/w illus.
    • availability: In stock
  • Table of Contents

    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.

  • Resources for

    RATS Handbook to Accompany Introductory Econometrics for Finance

    Chris Brooks

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  • Author

    Chris Brooks, City University, London
    Chris Brooks is Professor of Finance at the ICMA Centre, University of Reading, UK, where he also obtained his PhD. He has published over 60 articles in leading academic and practitioner journals including the Journal of Business, the Journal of Banking and Finance, the Journal of Empirical Finance, the Review of Economics and Statistics and the Economic Journal. He is associate editor of a number of journals including the International Journal of Forecasting. He has also acted as consultant for various banks and professional bodies in the fields of finance, econometrics and real estate.

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