Time Series and Panel Data Econometrics
Time Series and Panel Data Econometrics
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DOI：
10.1093/acprof:oso/9780198736912.001.0001
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发表时间：
2015-11
期刊：
影响因子：
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通讯作者：
M. Pesaran
中科院分区：
文献类型：
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作者：
M. Pesaran
本书涉及用于宏观经济和金融数据分析的时间序列和面板数据技术的最新发展。它提供了处理单变量和多变量时间序列模型以及面板数据模型的时间序列技术的严格但用户友好的说明。它与其他时间序列文本的不同之处在于，它还涵盖了面板数据模型，并试图更连贯地整合时间序列、多变量分析和面板数据模型。它建立在作者在时间序列和面板数据分析领域的广泛研究基础上，并在一卷中涵盖了各种主题。这本书的不同部分可以作为计量经济学中各种课程的教材。它也可以作为参考手册使用。它首先概述了基本的计量经济学和统计学技术，并介绍了随机过程、单变量和多变量时间序列、单位根检验、协整、脉冲响应分析、自回归条件异方差模型、联立方程模型、向量自回归、因果关系、预测、多变量波动模型、面板数据模型、聚集和全局向量自回归模型(GVAR)。使用MicroFit 5(Pesaran and Pesaran，2009，OUP)说明了这些技术，并应用于实际产出、通货膨胀、利率、汇率和股票价格。
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.