Time Series Econometrics: using Microfit 5.0

Paperback | September 20, 2009

byBahram Pesaran, M. Hashem Pesaran

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Microfit 5.0 is an interactive, menu-driven program with a host of facilities for estimation, hypothesis testing, forecasting, data processing, file management, and graphic display. These features make Microfit 5.0 one of the most powerful menu-driven time-series econometric packages currentlyavailable. It is a major advance over Microfit 4 and offers a unique built-in interactive, searchable econometric text. It provides users with technical, functional and tutorial help throughout the package. Another key feature is that it can be used at different levels of technical sophistication.For experienced users of econometric programmes, it offers a variety of univariate methods, multivariate techniques for cointegration, principal components, canonical correlations and multivariate volatility modelling, and provides a large number of diagnostic and non-nested tests not readilyavailable in other packages. The interaction of excellent graphics and estimation capabilities in Microfit 5.0 allows important econometric research to be carried out in a matter of days rather than weeks.This comprehensive and accessible manual outlines and explains all of Microfit's features and functionality and is a valuable resource in its own right for those new to Microfit and those who want to use and understand its more advanced features.

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Microfit 5.0 is an interactive, menu-driven program with a host of facilities for estimation, hypothesis testing, forecasting, data processing, file management, and graphic display. These features make Microfit 5.0 one of the most powerful menu-driven time-series econometric packages currentlyavailable. It is a major advance over Micro...

Bahram Pesaran is currently a Research Consultant at Wadhwani Asset Management. He has also worked as a Research Analyst at Tudor Investment Corporation, The Bank of England, The National Institute of Economics and Social Research and The Confederation of British Industry. Hashem Pesaran is Professor of Economics at the University of ...

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Format:PaperbackDimensions:592 pages, 9.69 × 7.44 × 1.22 inPublished:September 20, 2009Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199563535

ISBN - 13:9780199563531

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Table of Contents

Introduction to Microfit1. Introduction2. Installation and Getting StartedProcessing and Data Management3. Inputting and Saving Data Files4. Data Processing and Preliminary Data Analysis5. Printing/ Saving Results and GraphsEstimation Menus6. Single-Equation Options7. Multiple Equation Options8. Volatility Modelling OptionsTutorial Lessons9. Lessons in Data Management10. Lessons in Data Processing11. Lessons in Linear Regression Analysis12. Lessons in Univariate Time Series Analysis13. Lessons in Non-Linear Estimation14. Lessons in Probit and Logit Estimation15. Lessons in VAR Modelling16. Lessons in Cointegration Analysis17. Lessons in VARX Modelling and Trend/ Cycle Dec.18. Lessons in SURE Estimation19. Lessons in Univariate GARCH Modelling20. Lessons in Multivariate GARCH ModellingEconometric Methods21. Econometrics of Single Equation Models22. Econometrics of Multiple Equation Models23. Econometrics of Volatility ModelsAppendicesA. Size LimitationsB. Statistical Tables