Online Public Access Catalogue (OPAC)
Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Image from Google Jackets

Time series and panel data econometrics / M. Hashem Pesaran.

By: Material type: TextTextPublication details: Oxford : Oxford University Press, 2015.Description: xxx, 1064 p. : illustrations ; 25 cmISBN:
  • 9780198759980 (pbk.)
Subject(s): DDC classification:
  • 330.015195 23 P472
Contents:
1. Relationship between two variables -- 2. Multiple regression -- 3. Hypothesis testing in regression models -- 4. Heteroskedasticity -- 5. Autocorrelated disturbances -- 6. Introduction to dynamic economic modelling -- 7. Predictability of asset returns and the efficient market hypothesis -- 8. Asymptotic theory -- 9. Maximum likelihood estimation -- 10. Generalized method of moments -- 11. Model selection and testing non-nested hypotheses -- 12. Introduction to stochastic processes -- 13. Spectral analysis -- 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 -- 19. Multivariate analysis -- 20. Multivariate rational expectations models -- 21. Vector autoregressive models -- 22. Cointegration analysis -- 23. VARX modelling -- 24. Impulse response analysis -- 25. Modelling the conditional correlation of asset returns -- 26. Panel data models with strictly exogenous regressors -- 27. Short T dynamic panel data models -- 28. Large heterogeneous panel data models -- 29. Cross-sectional dependence in panels -- 30. Spatial panel econometrics -- 31. Unit roots and cointegration in panels -- 32. Aggregation of large panels -- 33. Theory and practice of GVAR modelling -- Appendices: A. Mathematics -- B. Probability and statistics -- C. Bayesian analysis.
Summary: 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.
Tags from this library: No tags from this library for this title. Log in to add tags.
Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 P472 (Browse shelf(Opens below)) Available 137317
Total holds: 0

Includes bibliographical references and indexes.

1. Relationship between two variables --
2. Multiple regression --
3. Hypothesis testing in regression models --
4. Heteroskedasticity --
5. Autocorrelated disturbances --
6. Introduction to dynamic economic modelling --
7. Predictability of asset returns and the efficient market hypothesis --
8. Asymptotic theory --
9. Maximum likelihood estimation --
10. Generalized method of moments --
11. Model selection and testing non-nested hypotheses --
12. Introduction to stochastic processes --
13. Spectral analysis --
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 --
19. Multivariate analysis --
20. Multivariate rational expectations models --
21. Vector autoregressive models --
22. Cointegration analysis --
23. VARX modelling --
24. Impulse response analysis --
25. Modelling the conditional correlation of asset returns --
26. Panel data models with strictly exogenous regressors --
27. Short T dynamic panel data models --
28. Large heterogeneous panel data models --
29. Cross-sectional dependence in panels --
30. Spatial panel econometrics --
31. Unit roots and cointegration in panels --
32. Aggregation of large panels --
33. Theory and practice of GVAR modelling --
Appendices: A. Mathematics --
B. Probability and statistics --
C. Bayesian analysis.

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.

There are no comments on this title.

to post a comment.
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in