Time Series and Panel Data Econometrics

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Description

This book is concerned with contemporary developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, then again user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, in addition to 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 at the creator’s extensive research in the areas of time series and panel data analysis and covers all kinds of topics in one volume. Different parts of the book can be utilized as teaching material for a number of courses in econometrics. It will 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 the use of Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

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