Books > Business & Economics > Economics > Econometrics
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Time Series and Panel Data Econometrics (Paperback)
Loot Price: R2,179
Discovery Miles 21 790
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Time Series and Panel Data Econometrics (Paperback)
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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.
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