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Time Series and Panel Data Econometrics - Oxford Scholarship Online
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Time Series and Panel Data Econometrics

M. Hashem Pesaran

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 ... More

Keywords: 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

Authors

Affiliations are at time of print publication.

M. Hashem Pesaran, author
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

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Contents

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Part I Introduction to Econometrics

Part II Statistical Theory

Part III Stochastic Processes

Part IV Multivariate Time Series Models

Part V Multivariate Time Series Models

Part VI Panel Data Econometrics