Time series and panel data econometrics

✍ Scribed by Pesaran, M. Hashem

• Publisher: Oxford University Press
• Year: 2016
• Tongue: English
• Leaves: 1095
• Edition: First edition
• Category: Library

✦ Synopsis

This work describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.;Part I Introduction to Econometrics -- 1 Relationship Between Two Variables -- 2 Multiple Regression -- 3 Hypothesis Testing in Regression Models -- 4 Heteroskedasticity -- 5 Autocorrelated Disturbances -- 6 Introduction to Dynamic Economic Modelling -- 7 Predictability of Asset Returns and the Efficient Market Hypothesis -- Part II Statistical Theory -- 8 Asymptotic Theory -- 9 Maximum Likelihood Estimation -- 10 Generalized Method of Moments -- 11 Model Selection and Testing Non-Nested Hypotheses -- Part III Stochastic Processes -- 12 Introduction to Stochastic Processes -- 13 Spectral Analysis -- Part IV Multivariate Time Series Models -- 14 Estimation of Stationary Time Series Processes -- 15 Unit Root Processes -- 16 Trend and Cycle Decomposition -- 17 Introduction to Forecasting -- 18 Measurement and Modelling of Volatility -- Part V Multivariate Time Series Models -- 19 Multivariate Analysis -- 20 Multivariate Rational Expectations Models -- Chapter 21 Vector Autoregressive Models -- Chapter 22 Cointegration Analysis -- Chapter 23 Varx Modelling -- Chapter 24 Impulse Response Analysis -- Chapter 25 Modelling the Conditional Correlation of Asset Returns -- Part VI Panel Data Econometrics -- Chapter 26 Panel Data Models with Strictly Exogenous Regressors -- Chapter 27 Short T Dynamic Panel Data Models -- Chapter 28 Large Heterogeneous Panel Data Models -- Chapter 29 Cross-Sectional Dependence in Panels -- Chapter 30 Spatial Panel Econometrics -- Chapter 31 Unit Roots and Cointegration in Panels -- Chapter 32 Aggregation of Large Panels -- Chapter 33 Theory and Practice of GVAR Modelling.

✦ Table of Contents

Part I Introduction to Econometrics --
1 Relationship Between Two Variables --
2 Multiple Regression --
3 Hypothesis Testing in Regression Models --
4 Heteroskedasticity --
5 Autocorrelated Disturbances --
6 Introduction to Dynamic Economic Modelling --
7 Predictability of Asset Returns and the Efficient Market Hypothesis --
Part II Statistical Theory --
8 Asymptotic Theory --
9 Maximum Likelihood Estimation --
10 Generalized Method of Moments --
11 Model Selection and Testing Non-Nested Hypotheses --
Part III Stochastic Processes --
12 Introduction to Stochastic Processes --
13 Spectral Analysis --
Part IV Multivariate Time Series Models --
14 Estimation of Stationary Time Series Processes --
15 Unit Root Processes --
16 Trend and Cycle Decomposition --
17 Introduction to Forecasting --
18 Measurement and Modelling of Volatility --
Part V Multivariate Time Series Models --
19 Multivariate Analysis --
20 Multivariate Rational Expectations Models --
Chapter 21 Vector Autoregressive Models --
Chapter 22 Cointegration Analysis --
Chapter 23 Varx Modelling --
Chapter 24 Impulse Response Analysis --
Chapter 25 Modelling the Conditional Correlation of Asset Returns --
Part VI Panel Data Econometrics --
Chapter 26 Panel Data Models with Strictly Exogenous Regressors --
Chapter 27 Short T Dynamic Panel Data Models --
Chapter 28 Large Heterogeneous Panel Data Models --
Chapter 29 Cross-Sectional Dependence in Panels --
Chapter 30 Spatial Panel Econometrics --
Chapter 31 Unit Roots and Cointegration in Panels --
Chapter 32 Aggregation of Large Panels --
Chapter 33 Theory and Practice of GVAR Modelling.

✦ Subjects

Econometrics;Macroeconomics--Mathematical models;Electronic books;Macroeconomics -- Mathematical models