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Zeitreihen- und Paneldaten Ökonometrie von M. Hashem Pesaran (englisch) Taschenbuch-
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eBay-Artikelnr.:364873448539
Artikelmerkmale
- Artikelzustand
- ISBN-13
- 9780198759980
- Type
- NA
- Publication Name
- NA
- ISBN
- 9780198759980
- Book Title
- Time Series and Panel Data Econometrics
- Publisher
- Oxford University Press, Incorporated
- Item Length
- 9.7 in
- Publication Year
- 2015
- Format
- Trade Paperback
- Language
- English
- Illustrator
- Yes
- Item Height
- 2.3 in
- Genre
- Business & Economics
- Topic
- Economics / Microeconomics, Economics / Macroeconomics, Econometrics, Statistics
- Item Weight
- 74.6 Oz
- Item Width
- 7.4 in
- Number of Pages
- 1104 Pages
Über dieses Produkt
Product Identifiers
Publisher
Oxford University Press, Incorporated
ISBN-10
0198759983
ISBN-13
9780198759980
eBay Product ID (ePID)
234956380
Product Key Features
Book Title
Time Series and Panel Data Econometrics
Number of Pages
1104 Pages
Language
English
Publication Year
2015
Topic
Economics / Microeconomics, Economics / Macroeconomics, Econometrics, Statistics
Illustrator
Yes
Genre
Business & Economics
Format
Trade Paperback
Dimensions
Item Height
2.3 in
Item Weight
74.6 Oz
Item Length
9.7 in
Item Width
7.4 in
Additional Product Features
LCCN
2015-936093
Dewey Edition
23
Dewey Decimal
330.015195
Table Of Content
Part I: Introduction to Econometrics1. Relationship Between Two Variables2. Multiple Regression3. Hypothesis Testing in Regression Models4. Heteroskedasticity5. Autocorrelated Disturbances6. Introduction to Dynamic Economic Modelling7. Predictability of Asset Returns and the EMHPart II: Statistical Theory8. Asymptotic Theory9. Maximum Likelihood Estimation10. Generalized Method of Moments11. Model Selection and Testing Non-Nested HypothesesPart III: Stochastic Processes12. Introduction to Stochastic Processes13. Spectral AnalysisPart IV: Univariate Time Series Models14. Estimation of Stationary Time Series Processes15. Unit Root Processes16. Trend and Cycle Decomposition17. Introduction to Forecasting18. Measurement and Modelling of VolatilityPart V: Multivariate Time Series Models19. Multivariate Analysis20. Multivariate Rational Expectations Models21. Vector Autoregressive Models22. Cointegration Analysis23. VARX Modelling24. Impulse Response Analysis25. Modelling the Conditional Correlation of Asset ReturnsPart VI: Panel Data Econometrics26. Panel Data Models with Strictly Exogenous Regressors27. Short T Dynamic Panel Data Models28. Large Heterogeneous Panel Data Models29. Cross Section Dependence in Panels30. Spatial Panel Econometrics31. Unit Roots and Cointegration in Panels32. Aggregation of Large Panels33. Theory and Practice of GVAR ModellingPart VII: AppendicesA. MathematicsB. Probability and StatisticsC. Bayesian Analysis
Synopsis
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., The book describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades., 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.
LC Classification Number
HB139
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