INSTRUCTOR’S RESOURCE GUIDE TO ACCOMPANY
APPLIED ECONOMETRIC TIME SERIES
(2nd edition)
Walter Enders
University of Alabama
Prepared by
Pin Chung
American Reinsurance Company and Iowa State University
Walter Enders
University of Alabama
Ling Shao
University of Alabama
Jingan Yuan
University of Alabama
,
,PREFACE
This Instructor’s Manual is designed to accompany the second edition of Walter Enders’
Applied Econometric Time Series (AETS). As in the first edition, the text instructs by induction. The
method is to take a simple example and build towards more general models and econometric
procedures. A large number of examples are included in the body of each chapter. Many of the
mathematical proofs are performed in the text and detailed examples of each estimation procedure
are provided. The approach is one of learning-by-doing. As such, the mathematical questions and the
suggested estimations at the end of each chapter are important. In addition, it is useful to have
students perform the type of semester project described at the end of this manual.
One aim of this manual is to provide the answers to each of the mathematical problems.
Many of these questions are answered in great detail. Our goal was not to provide the most
mathematically elegant solution techniques. Sometimes a long and drawn-out answer provides more
insight than a concise proof.
This second aim is to provide sample programs that can be used to obtain the results reported
in the ‘Questions and Exercises’ sections of AETS. Students should be encouraged to work through
as many of these exercises as possible. In order to work through the exercises, it is necessary to have
access to a statistical package such as EViews, Microfit, PC-GIVE, or RATS, SAS, SHAZAM or
STATA. Matrix packages such as MATLAB, and GAUSS are not as convenient for univariate
models. Some of these packages, such as EViews, allow you to perform most of the exercises using
pull-down menus. Others, such as GAUSS, need to be programmed to perform relatively simple
tasks. It is not possible to include programs for each of these packages within this small manual.
There were several factors leading me to provide programs written for RATS and STATA. First, the
RATS Programming Manual can be downloaded (at no charge) from www.estima.com/enders. The
Programming Manual provides a complete discussion of many of the programming tasks used in
time-series econometrics. STATA was included since it is a popular package that most would not
consider to be a time-series package. Nevertheless, as shown below, STATA can produce almost all
of the results obtained in the text. Adobe Acrobat allows you to copy a program from the *.pdf
version of this manual and paste it directly into STATA or RATS. The languages used in RATS and
STATA are relatively transparent. As such, users of other packages should be able to translate the
programs provided here.
As stated in the Preface of AETS, the text is certain to contain a number of errors. If the
first edition is any guide, the number is embarrassingly large. I will keep a list of typos and
corrections on my Web page: www.cba.ua.edu/~wenders. Moreover, time-series methods and
techniques keep evolving very rapidly. I will try to keep you updated by posting research notes
and clarifications on my Web page. I would be happy to post any useful programs or
communications you might have; my e-mail address is .
,
APPLIED ECONOMETRIC TIME SERIES
(2nd edition)
Walter Enders
University of Alabama
Prepared by
Pin Chung
American Reinsurance Company and Iowa State University
Walter Enders
University of Alabama
Ling Shao
University of Alabama
Jingan Yuan
University of Alabama
,
,PREFACE
This Instructor’s Manual is designed to accompany the second edition of Walter Enders’
Applied Econometric Time Series (AETS). As in the first edition, the text instructs by induction. The
method is to take a simple example and build towards more general models and econometric
procedures. A large number of examples are included in the body of each chapter. Many of the
mathematical proofs are performed in the text and detailed examples of each estimation procedure
are provided. The approach is one of learning-by-doing. As such, the mathematical questions and the
suggested estimations at the end of each chapter are important. In addition, it is useful to have
students perform the type of semester project described at the end of this manual.
One aim of this manual is to provide the answers to each of the mathematical problems.
Many of these questions are answered in great detail. Our goal was not to provide the most
mathematically elegant solution techniques. Sometimes a long and drawn-out answer provides more
insight than a concise proof.
This second aim is to provide sample programs that can be used to obtain the results reported
in the ‘Questions and Exercises’ sections of AETS. Students should be encouraged to work through
as many of these exercises as possible. In order to work through the exercises, it is necessary to have
access to a statistical package such as EViews, Microfit, PC-GIVE, or RATS, SAS, SHAZAM or
STATA. Matrix packages such as MATLAB, and GAUSS are not as convenient for univariate
models. Some of these packages, such as EViews, allow you to perform most of the exercises using
pull-down menus. Others, such as GAUSS, need to be programmed to perform relatively simple
tasks. It is not possible to include programs for each of these packages within this small manual.
There were several factors leading me to provide programs written for RATS and STATA. First, the
RATS Programming Manual can be downloaded (at no charge) from www.estima.com/enders. The
Programming Manual provides a complete discussion of many of the programming tasks used in
time-series econometrics. STATA was included since it is a popular package that most would not
consider to be a time-series package. Nevertheless, as shown below, STATA can produce almost all
of the results obtained in the text. Adobe Acrobat allows you to copy a program from the *.pdf
version of this manual and paste it directly into STATA or RATS. The languages used in RATS and
STATA are relatively transparent. As such, users of other packages should be able to translate the
programs provided here.
As stated in the Preface of AETS, the text is certain to contain a number of errors. If the
first edition is any guide, the number is embarrassingly large. I will keep a list of typos and
corrections on my Web page: www.cba.ua.edu/~wenders. Moreover, time-series methods and
techniques keep evolving very rapidly. I will try to keep you updated by posting research notes
and clarifications on my Web page. I would be happy to post any useful programs or
communications you might have; my e-mail address is .
,
