Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

@inproceedings{Shi2014ComprehensiveTR,
  title={Comprehensive Time-Series Regression Models Using GRETL - U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013},
  author={Juehui Shi},
  year={2014}
}
  • Juehui Shi
  • Published 2014
  • Economics, Mathematics
  • Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time series of GDP and Government Consumption Expenditures & Gross Investment (GCEGI) from 1980 to 2013. The article is organized as: (I) Definition; (II) Regression Models; (III) Discussion. Additionally, I… CONTINUE READING

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