Time Series and Panel Data Econometrics is popular PDF and ePub book, written by M. Hashem Pesaran in 2015, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Time Series and Panel Data Econometrics can be Read Online from any device for your convenience.
Time Series and Panel Data Econometrics Book PDF 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.
Detail Book of Time Series and Panel Data Econometrics PDF
- Author : M. Hashem Pesaran
- Release : 03 July 2024
- Publisher : Oxford University Press, USA
- ISBN : 9780198759980
- Genre : Business & Economics
- Total Page : 1095 pages
- Language : English
- PDF File Size : 11,6 Mb
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