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The Resource Time series and panel data econometrics, M. Hashem Pesaran

Time series and panel data econometrics, M. Hashem Pesaran

Label
Time series and panel data econometrics
Title
Time series and panel data econometrics
Statement of responsibility
M. Hashem Pesaran
Creator
Author
Subject
Language
eng
Summary
"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."--
Assigning source
Provided by publisher
Cataloging source
StDuBDS
http://library.link/vocab/creatorDate
1946-
http://library.link/vocab/creatorName
Pesaran, M. Hashem
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Macroeconomics
  • Econometrics
Label
Time series and panel data econometrics, M. Hashem Pesaran
Link
https://opac.eui.eu/client/en_GB/default/search/detailnonmodal/ent:$002f$002fSD_ILS$002f0$002fSD_ILS:396336/one
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 995-1033) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
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 EMH -- II. Statistical Theory -- 8. Asymptotic Theory -- 9. Maximum Likelihood Estimation -- 10. Generalized Method of Moments -- 11. Model Selection and Testing Non-Nested Hypotheses -- III. Stochastic Processes -- 12. Introduction to Stochastic Processes -- 13. Spectral Analysis -- IV. Univariate 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 -- V. Multivariate Time Series Models --19. Multivariate Analysis --20. Multivariate Rational Expectations Models -- 21. Vector Autoregressive Models -- 22. Cointegration Analysis -- 23. VARX Modelling -- 24. Impulse Response Analysis -- 25. Modelling the Conditional Correlation of Asset Returns -- VI. Panel Data Econometrics -- 26. Panel Data Models with Strictly Exogenous Regressors -- 27. Short T Dynamic Panel Data Models -- 28. Large Heterogeneous Panel Data Models -- 29. Cross Section Dependence in Panels -- 30. Spatial Panel Econometrics -- 31. Unit Roots and Cointegration in Panels -- 32. Aggregation of Large Panels -- 33. Theory and Practice of GVAR Modelling
Control code
FIEb17693986
Dimensions
25 cm.
Extent
xxx, 1064 pages
Isbn
9780198736912
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
  • (Uk)017418521
  • (StEdALDL)1/3328148
  • (OCoLC)925441421
Label
Time series and panel data econometrics, M. Hashem Pesaran
Link
https://opac.eui.eu/client/en_GB/default/search/detailnonmodal/ent:$002f$002fSD_ILS$002f0$002fSD_ILS:396336/one
Publication
Bibliography note
Includes bibliographical references (pages 995-1033) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
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 EMH -- II. Statistical Theory -- 8. Asymptotic Theory -- 9. Maximum Likelihood Estimation -- 10. Generalized Method of Moments -- 11. Model Selection and Testing Non-Nested Hypotheses -- III. Stochastic Processes -- 12. Introduction to Stochastic Processes -- 13. Spectral Analysis -- IV. Univariate 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 -- V. Multivariate Time Series Models --19. Multivariate Analysis --20. Multivariate Rational Expectations Models -- 21. Vector Autoregressive Models -- 22. Cointegration Analysis -- 23. VARX Modelling -- 24. Impulse Response Analysis -- 25. Modelling the Conditional Correlation of Asset Returns -- VI. Panel Data Econometrics -- 26. Panel Data Models with Strictly Exogenous Regressors -- 27. Short T Dynamic Panel Data Models -- 28. Large Heterogeneous Panel Data Models -- 29. Cross Section Dependence in Panels -- 30. Spatial Panel Econometrics -- 31. Unit Roots and Cointegration in Panels -- 32. Aggregation of Large Panels -- 33. Theory and Practice of GVAR Modelling
Control code
FIEb17693986
Dimensions
25 cm.
Extent
xxx, 1064 pages
Isbn
9780198736912
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
  • (Uk)017418521
  • (StEdALDL)1/3328148
  • (OCoLC)925441421

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