Time series and panel data econometrics

Time series and panel data econometrics / M. Hashem Pesaran.

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.

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Bibliographic Details
Main Author: Pesaran, M. Hashem, 1946- (Author)
Format: eBook
Language:English
Published: Oxford : Oxford University Press, 2016.
Edition:First edition.
Subjects:
Econometrics.
Macroeconomics > Mathematical models.
Econometrics
Macroeconomics > Mathematical models
Online Access:Click for online access
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.

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