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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.
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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.

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