Time Series and Panel Data Econometrics by M. Hashem PesaranTime Series and Panel Data Econometrics by M. Hashem Pesaran

Time Series and Panel Data Econometrics

byM. Hashem Pesaran

Paperback | December 14, 2015

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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 analysisand 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, simultaneousequation 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.
M. Hashem Pesaran is the John Elliot Distinguished Chair in Economics and professor of economics at USC Dornsife, the Director of the USC Dornsife Institute of Economic Thinking, and Director of Centre in Applied Financial Economics at USC. He is also a Fellow of Trinity College, and an emeritus Professor of Economics at Cambridge Univ...
Title:Time Series and Panel Data EconometricsFormat:PaperbackDimensions:1104 pages, 9.69 × 7.44 × 2.27 inPublished:December 14, 2015Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0198759983

ISBN - 13:9780198759980

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Table of Contents

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