发帖
雷达卡
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 ... 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 |
Front Matter
Part I Introduction to Econometrics
1 Relationship Between Two Variables
10 Generalized Method of Moments
11 Model Selection and Testing Non-Nested Hypotheses
Part III Stochastic Processes
12 Introduction to Stochastic Processes
13 Spectral Analysis
Part IV Multivariate Time Series Models
14 Estimation of Stationary Time Series Processes
15 Unit Root Processes
16 Trend and Cycle Decomposition
17 Introduction to Forecasting
18 Measurement and Modelling of Volatility
Part V Multivariate Time Series Models
19 Multivariate Analysis
20 Multivariate Rational Expectations Models
Chapter 21 Vector Autoregressive Models
Chapter 22 Cointegration Analysis
Chapter 23 Varx Modelling
Chapter 24 Impulse Response Analysis
Chapter 25 Modelling the Conditional Correlation of Asset Returns
Part VI Panel Data Econometrics
Chapter 26 Panel Data Models with Strictly Exogenous Regressors
Chapter 27 Short T Dynamic Panel Data Models
Chapter 28 Large Heterogeneous Panel Data Models
Chapter 29 Cross-Sectional Dependence in Panels
Chapter 30 Spatial Panel Econometrics
Chapter 31 Unit Roots and Cointegration in Panels
Chapter 32 Aggregation of Large Panels
Chapter 33 Theory and Practice of GVAR Modelling
End Matter
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