RATS Handbook to Accompany Introductory Econometrics for Finance

Chris Brooks

doi:10.1017/CBO9780511814082

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.

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Contents

Frontmatter
pp i-iv
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Contents
pp v-vii
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List of figures
pp viii-viii
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List of screenshots
pp ix-x
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Preface
pp xi-xii
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1 - Introduction
pp 1-21
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2 - The classical linear regression model
pp 22-33
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3 - Further development and analysis of the classical linear regression model
pp 34-42
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4 - Diagnostic testing
pp 43-70
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5 - Formulating and estimating ARMA models
pp 71-85
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6 - Multivariate models
pp 86-105
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7 - Modelling long-run relationships
pp 106-119
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8 - Modelling volatility and correlation
pp 120-144
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9 - Switching models
pp 145-159
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10 - Panel data
pp 160-167
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11 - Limited dependent variable models
pp 168-174
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12 - Simulation methods
pp 175-193
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Appendix: sources of data in this book
pp 194-194
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References
pp 195-198
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Index
pp 199-201
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RATS Handbook to Accompany Introductory Econometrics for Finance

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Contents

Frontmatter
pp i-iv

Contents
pp v-vii

List of figures
pp viii-viii

List of screenshots
pp ix-x

Preface
pp xi-xii

1 - Introduction
pp 1-21

2 - The classical linear regression model
pp 22-33

3 - Further development and analysis of the classical linear regression model
pp 34-42

4 - Diagnostic testing
pp 43-70

5 - Formulating and estimating ARMA models
pp 71-85

6 - Multivariate models
pp 86-105

7 - Modelling long-run relationships
pp 106-119

8 - Modelling volatility and correlation
pp 120-144

9 - Switching models
pp 145-159

10 - Panel data
pp 160-167

11 - Limited dependent variable models
pp 168-174

12 - Simulation methods
pp 175-193

Appendix: sources of data in this book
pp 194-194

References
pp 195-198

Index
pp 199-201

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RATS Handbook to Accompany Introductory Econometrics for Finance

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