This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models.
It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual.
It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
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
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