Name: Time Series and Panel Data Econometrics (en Inglés)
SKU: 47260498
Price: 168.20 USD
Availability: InStock
Author: M. Hashem Pesaran
ISBN: 9780198759980

portada Time Series and Panel Data Econometrics (en Inglés)

Time Series and Panel Data Econometrics (en Inglés)

Formato

Libro Físico

Editorial

Oxford University Press

Autor

M. Hashem Pesaran

Año

2015

Idioma

Inglés

N° páginas

1104

Encuadernación

Tapa Blanda

ISBN13

9780198759980

Categorías

Econometría

Time Series and Panel Data Econometrics (en Inglés)

M. Hashem Pesaran (Autor) · Oxford University Press · Tapa Blanda

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Reseña del libro "Time Series and Panel Data Econometrics (en Inglés)"

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