Time series econometrics using Microfit 5.0

Bahram Pesaran · M. Hashem Pesaran

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Financial Risk and Volatility Modeling Statistical Methods and Applications Data Analysis with R

Abstract

INTRODUCTION TO MICROFIT 1. Introduction 2. Installation and Getting Started PROCESSING AND DATA MANAGEMENT 3. Inputting and Saving Data Files 4. Data Processing and Preliminary Data Analysis 5. Printing/ Saving Results and Graphs ESTIMATION MENUS 6. Single-Equation Options 7. Multiple Equation Options 8. Volatility Modelling Options TUTORIAL LESSONS 9. Lessons in Data Management 10. Lessons in Data Processing 11. Lessons in Linear Regression Analysis 12. Lessons in Univariate Time Series Analysis 13. Lessons in Non-Linear Estimation 14. Lessons in Probit and Logit Estimation 15. Lessons in VAR Modelling 16. Lessons in Cointegration Analysis 17. Lessons in VARX Modelling and Trend/ Cycle Dec. 18. Lessons in SURE Estimation 19. Lessons in Univariate GARCH Modelling 20. Lessons in Multivariate GARCH Modelling ECONOMETRIC METHODS 21. Econometrics of Single Equation Models 22. Econometrics of Multiple Equation Models 23. Econometrics of Volatility Models APPENDICES A. Size Limitations B. Statistical Tables

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