Time Series and Panel Data Econometrics
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Product details:
- Publisher OUP Oxford
- Date of Publication 1 October 2015
- ISBN 9780198759980
- Binding Paperback
- No. of pages1104 pages
- Size 246x198x57 mm
- Weight 2110 g
- Language English 0
Categories
Short description:
The book describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.
MoreLong description:
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models.
It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual.
It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Table of Contents:
Part I: Introduction to Econometrics
Relationship Between Two Variables
Multiple Regression
Hypothesis Testing in Regression Models
Heteroskedasticity
Autocorrelated Disturbances
Introduction to Dynamic Economic Modelling
Predictability of Asset Returns and the EMH
Part II: Statistical Theory
Asymptotic Theory
Maximum Likelihood Estimation
Generalized Method of Moments
Model Selection and Testing Non-Nested Hypotheses
Part III: Stochastic Processes
Introduction to Stochastic Processes
Spectral Analysis
Part IV: Univariate Time Series Models
Estimation of Stationary Time Series Processes
Unit Root Processes
Trend and Cycle Decomposition
Introduction to Forecasting
Measurement and Modelling of Volatility
Part V: Multivariate Time Series Models
Multivariate Analysis
Multivariate Rational Expectations Models
Vector Autoregressive Models
Cointegration Analysis
VARX Modelling
Impulse Response Analysis
Modelling the Conditional Correlation of Asset Returns
Part VI: Panel Data Econometrics
Panel Data Models with Strictly Exogenous Regressors
Short T Dynamic Panel Data Models
Large Heterogeneous Panel Data Models
Cross Section Dependence in Panels
Spatial Panel Econometrics
Unit Roots and Cointegration in Panels
Aggregation of Large Panels
Theory and Practice of GVAR Modelling
Part VII: Appendices
Mathematics
Probability and Statistics
Bayesian Analysis
