Time Series and Panel Data Econometrics

Description

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.

• Covers both time series and panel data analysis
• Covers introductory as well as advanced topics in one volume
• Comprehensive graduate text that combines theory and practice with many examples and empirical applications
• All chapters contain supplementary exercises
• Includes detailed cross references

About the Author(s)

M. Hashem Pesaran, John Elliot Distinguished Chair in Economics and professor of economics at University of Southern California Dornsife; Director of the USC Dornsife Institute of Economic Thinking, and Director of Centre in Applied Financial Economics at USC; Fellow of Trinity College, and emeritus Professor of Economics, Cambridge University

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 University. He received his Ph.D. in economics from Cambridge University. Prior to 1979 he headed the Economic Research Department of the Central Bank of Iran and served as Under-Secretary of the Iranian Ministry of Education. Dr Pesaran is a fellow of the British Academy, the Econometric Society, and the Journal of Econometrics. He has received the George Sell Prize and the Royal Economic Society Prize. He has more than 200 publications in the areas of econometrics, empirical finance, and macroeconomics and the Iranian economy. He is a co-developer of Microfit, an econometric software package published by Oxford University Press.

Table of Contents

Part I: Introduction to Econometrics
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 EMH
Part II: Statistical Theory
8:Asymptotic Theory
9:Maximum Likelihood Estimation
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: Univariate 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
21:Vector Autoregressive Models
22:Cointegration Analysis
23:VARX Modelling
24:Impulse Response Analysis
25:Modelling the Conditional Correlation of Asset Returns
Part VI: Panel Data Econometrics
26:Panel Data Models with Strictly Exogenous Regressors
27:Short T Dynamic Panel Data Models
28:Large Heterogeneous Panel Data Models
29:Cross Section 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
Part VII: Appendices
A:Mathematics
B:Probability and Statistics
C:Bayesian Analysis