Time Series and Panel Data Econometrics (Hardcover)

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.

General

Imprint:	Oxford UniversityPress
Country of origin:	United Kingdom
Release date:	October 2015
Authors:	M. Hashem Pesaran
Dimensions:	252 x 201 x 61mm (L x W x T)
Format:	Hardcover
Pages:	1096
ISBN-13:	978-0-19-873691-2
Categories:	Books > Business & Economics > Economics > Microeconomics > General Books > Business & Economics > Economics > Econometrics > General Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General
LSN:	0-19-873691-6
Barcode:	9780198736912

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