000			04057cam a22003855a 4500
001			5179
003			BD-DhEWU
005			20190304112401.0
008			150313s2015 enka g b 001 0 eng
010			_a 2015936093
020			_a9780198759980 (pbk.)
020			_a0198759983 (pbk.)
020			_a9780198736912 (hbk.)
020			_a0198736916 (hbk.)
035			_a(OCLC)925441421
040			_aDLC _cDLC _beng _dDLC _dBD-DhEWU
041			_aeng
082	0	0	_a330.015195 _bPET 2015
100	1		_aPesaran, M. Hashem. _921023
245	1	0	_aTime series and panel data econometrics / _cM. Hashem Pesaran.
260			_aOxford : _bOxford University Press, _c2015.
300			_axxx, 1064 p : _billus. ; _c25 cm.
504			_aIncludes bibliographical references (pages [995]-1033) and indexes.
505			_tTOC _aRelationship between two variables -- Multiple regression -- Hypothesis testing in regression models -- Heteroskedasticity -- Autocorrelated disturbances -- Introduction to dynamic economic modelling -- Predictability of asset returns and the efficient market hypothesis -- Asymptotic theory -- Maximum likelihood estimation -- Generalized method of moments -- Model selection and testing non-nested hypotheses -- Introduction to stochastic processes -- Spectral analysis -- Estimation of stationary time series processes -- Unit root processes -- Trend and cycle decomposition -- Introduction to forecasting -- Measurement and modelling of volatility -- Multivariate analysis -- Multivariate rational expectations models -- Vector autoregressive models -- Cointegration analysis -- VARX modelling -- Impulse response analysis -- Modelling the conditional correlation of asset returns -- Panel data models with strictly exogenous regressors -- Short T dynamic panel data models -- Large heterogeneous panel data models -- Cross-sectional dependence in panels -- Spatial panel econometrics -- Unit roots and cointegration in panels -- Aggregation of large panels -- Theory and practice of GVAR modelling -- Appendices: A. Mathematics -- B. Probability and statistics -- C. Bayesian analysis.
520			_a 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.0It 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.
526			_aEconomics
590			_aSagar Shahanawaz
650		0	_aEconometrics. _921024
650		0	_aMacroeconomics _xMathematical models. _915724
650		0	_aTime-series analysis. _921025
650		0	_aPanel analysis. _919980
856	4	2	_3WorldCat details _uhttps://www.worldcat.org/title/time-series-and-panel-data-econometrics/oclc/925441421&referer=brief_results
942			_2ddc _cTEXT _08
999			_c5179 _d5179
999			_c5179 _d5179