عنوان

Time series and panel data econometrics /

0191800503

0198736916

9780191800504

9780198736912

Time series and panel data econometrics /

[Book]

M. Hashem Pesaran.

First edition.

Oxford :

Oxford University Press,

2016.

1 online resource :

illustrations

Includes bibliographical references and index.

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.

0

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.

9780198736912

Econometrics.

Macroeconomics-- Mathematical models.

Econometrics.

Macroeconomics-- Mathematical models.

Pesaran, M. Hashem,1946-

20200822092337.0

pn

[Book]

Y