TY  - BOOK
AU  - Pesaran,M.Hashem
TI  - Time series and panel data econometrics
SN  - 9780198759980 (pbk.)
U1  - 330.015195 23
PY  - 2015///
CY  - Oxford : 
PB  - Oxford University Press, 
KW  - Econometrics
KW  - Macroeconomics
KW  - Mathematical models
KW  - Time-series analysis
KW  - Panel analysis
N1  - 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
N2  - 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
ER  -