Time Series and Panel Data Econometrics
M. Hashem Pesaran
Abstract
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides an account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It attempts at an integration of time series, multivariate analysis, and panel data models. It builds on previous research in the areas of time series and panel data analysis, particularly recent developments in the analysis of panels with a large time series dimension and covers a wide variety of topics. The bo ... More
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides an account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It attempts at an integration of time series, multivariate analysis, and panel data models. It builds on previous research in the areas of time series and panel data analysis, particularly recent developments in the analysis of panels with a large time series dimension and covers a wide variety of topics. The book 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 with applications to economic variables like real output and inflation and financial variables like, interest rates, exchange rates, and stock prices.
Keywords:
time series data,
panel data,
financial data,
econometrics,
rational expectations,
model selection,
spectral density,
unit roots,
cointegration,
impulse response analysis,
forecasting,
structural VARs,
aggregation,
global VARs
Bibliographic Information
| Print publication date: 2015 |
Print ISBN-13: 9780198736912 |
| Published to Oxford Scholarship Online: March 2016 |
DOI:10.1093/acprof:oso/9780198736912.001.0001 |
Authors
Affiliations are at time of print publication.
M. Hashem Pesaran, author
John Elliot Distinguished Chair in Economics and professor of economics at University of Southern California Dornsife; Director of the USC Dornsife Institute of Economic Thinking, and Director of Centre in Applied Financial Economics at USC; Fellow of Trinity College, and emeritus Professor of Economics, Cambridge University
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