{"product_id":"applied-econometrics-k-h-erickson-9781515065388","title":"Applied Econometrics: A Simple Introduction","description":"\u003cp\u003eApplied Econometrics: A Simple Introduction offers a detailed guide to some of the central methods and applications of applied econometrics, with theory, models, calculations, and graphs to support analysis.\u003c\/p\u003e\u003cbr\u003e\u003cp\u003eS\u0026amp;P 500 equities, GSCI commodities, and US Treasury Bill risk-free rate datasets are assessed for their data distributions, autocorrelation, and stationarity. The Engle-Granger 2 step method, Johansen test and the Vector Error Correction Model test for and correct cointegration.\u003c\/p\u003e\u003cbr\u003e\u003cp\u003eARMA models determine the optimal AR and MA processes to model returns data, and GARCH models assess the optimal p and q number of lags to model variance, using the Akaike Information Criterion. Alternative GARCH versions are examined.\u003c\/p\u003e\u003cbr\u003e\u003cp\u003eDynamic portfolio strategies are evaluated using Sharpe Ratio portfolio performance evaluation tools, with a focus on the 2007-8 global financial crisis period. Static portfolio strategies are assessed using ARMA return and GARCH variance forecasting. Results are used alongside established financial literature to assess the optimal portfolio strategy.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e K. H. Erickson\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1515065383\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781515065388\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Createspace Independent Publishing Platform\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 09\/23\/2015\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 102\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.25lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 8.00h x 5.25w x 0.21d","brand":"K. H. Erickson","offers":[{"title":"Paperback","offer_id":43939964944639,"sku":"9781515065388","price":12.24,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/products\/img_05a7dab6-3779-4d11-a903-db1295ae8a66.jpg?v=1681444501","url":"https:\/\/www.whiterainbookhouse.com\/products\/applied-econometrics-k-h-erickson-9781515065388","provider":"WR Book House","version":"1.0","type":"link"}