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Introduction to Time Series using Stata [Paperback]

Sean Becketti
4.0 out of 5 stars  See all reviews (1 customer review)
Price: £49.99 & FREE Delivery in the UK. Details
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Book Description

8 Feb 2013 1597181323 978-1597181327 1

Recent decades have witnessed explosive growth in new and powerful tools for timeseries analysis. These innovations have overturned older approaches to forecasting, macroeconomic policy analysis, the study of productivity and long-run economic growth, and the trading of financial assets. Familiarity with these new tools on time series is an essential skill for statisticians, econometricians, and applied researchers.

Introduction to Time Series Using Stata provides a step-by-step guide to essential timeseries techniques—from the incredibly simple to the quite complex—and, at the same time, demonstrates how these techniques can be applied in the Stata statistical package. The emphasis is on an understanding of the intuition underlying theoretical innovations and an ability to apply them. Real-world examples illustrate the application of each concept as it is introduced, and care is taken to highlight the pitfalls, as well as the power, of each new tool.

Sean Becketti is a financial industry veteran with three decades of experience in academics, government, and private industry. Over the last two decades, Becketti has led proprietary research teams at several leading financial firms, responsible for the models underlying the valuation, hedging, and relative value analysis of some of the largest fixed-income portfolios in the world.


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Product details

  • Paperback: 741 pages
  • Publisher: Stata Press; 1 edition (8 Feb 2013)
  • Language: English
  • ISBN-10: 1597181323
  • ISBN-13: 978-1597181327
  • Product Dimensions: 23.4 x 18.3 x 2.8 cm
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 399,376 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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1 of 1 people found the following review helpful
4.0 out of 5 stars Time Series 19 April 2013
Format:Paperback
A very good book and easy to follow. Takes you through the initial steps up to Vector Error Correction. This is an introductory book, but would have benefited from more in-depth analysis and interpretation on the results and VECM.

Worth buying for anyone using Stata and time series.
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 4.6 out of 5 stars  5 reviews
3 of 4 people found the following review helpful
5.0 out of 5 stars Just what I was looking for in an book 24 Jun 2013
By Yves Poy Lorenzo - Published on Amazon.com
Format:Paperback|Verified Purchase
This is not my first time series book, but by far one of the most helpful. I don't have extensive training in statistics, let alone econometrics but I am learning it for medical research - I think this book is very easy to read and work through for people in the same situation.

The great thing about this intro book is that Becketti adequately preps you from the start, he is very detailed with his explanation of theory and basics. The second half is a very well structured, I found books I read prior to this jumped around and struggled to tie in theory with real-world examples. Here Becketti lays out a simple to understand step-by-step practical approach from model specification and identification to diagnostics and forecasting.

This book is great with teaching Stata time series functions as well. Becketti takes every opportunity to explain Stata syntaxes and functions and how they relate to time series theory and the examples he uses. It's given me quite helpful tips and tricks and i found my Stata analysis was much more efficient after completing the book.

I found it best to work through this book continuously with Stata on-hand. I found it difficult to have long breaks(eg two weeks or more) in between chapters, having to re-revise previous chapters when I did.

The only con I have found so far is that there were a few confusing syntax layouts and corrections (editing issue). However, they were easy enough to figure out if you were working through the book with Stata.
5.0 out of 5 stars excellent book 1 May 2014
By Wesley Busdiecker - Published on Amazon.com
Format:Paperback|Verified Purchase
If you are using STATA for time series, highly recommended. Good explanations, easy to understand. I used as supplement to an Econ class covering time series.
3 of 5 people found the following review helpful
5.0 out of 5 stars Great book for time series 21 Feb 2013
By cherryliao1990 - Published on Amazon.com
Format:Paperback|Verified Purchase
I love this book.
I am taking time series this semester.
I have difficulty understanding the stata output tables .
This book is really clear and easy to understand.
1 of 2 people found the following review helpful
4.0 out of 5 stars very practical book 24 Oct 2013
By S. Aydogan - Published on Amazon.com
Format:Paperback
This is not the first book I read about Time Series Analysis but so far it is one of the best!
The many practical examples help to understand a model and the commands that have to be used in Stata.
For a (new) Stata user, dealing with TS this book is very helpful.

Sometimes the structure can be confusing (p.e.: switching from the features of trend-stationary to unit-root process) but in general you can follow the book easily.
2 of 4 people found the following review helpful
4.0 out of 5 stars Good book 9 Oct 2013
By Francisco Ibarra-Bravo - Published on Amazon.com
Format:Paperback|Verified Purchase
Good book, just be patient because it has some mistakes. The code the author tells you to type sometimes will not match the results he presents. So far no big mistakes, but they do anoy you.
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