An introduction to applied econometrics : a time series approach
著者
書誌事項
An introduction to applied econometrics : a time series approach
Macmillan, 2000
- : hc
- : pbk
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注記
Includes bibliographical reference (p. 760-773) and indexes
Imprint varies: Basingstoke : Palgrave
"PALGRAVE is the new global academic imprint of St. Martin's Press LLC Scholarly and Reference Division and Palgrave Publishers Ltd (formerly Macmillan Press Ltd)."--T.p. verso of Palgrave ed
内容説明・目次
- 巻冊次
-
: hc ISBN 9780333802458
内容説明
This text, designed for second- and final-year economics undergraduates taking an introductory or applied course in econometrics, covers the essential elements of the subject. The author also introduces and explains techniques that are widely used in applied work, although rarely introduced in detail in non-specialist texts. These include integrated time series, cointegration, simulation analysis, Johansen's approach to multivariate cointegration and ARCH. The text also illustrates the central distinction between stationary and non-stationary time series, which is of crucial importance in many areas of analysis, especially in macroeconomics and financial economics.
目次
PART 1: FOUNDATIONS Economics and Quantitative Economics Some Preliminaries An Introduction to Stationary and Non-Stationary Random Variables PART 2: ESTIMATION AND SIMULATION A Review of Estimation and Model Building: The Bivariate Case Extending Estimation and Model Building to Several Regressors An Introduction to Nonstationary Univariate Time Series Models Developments of Nonstationary Univariate Time Series Models Stationarity and Nonstationarity in Single Equation Regression Analysis Endogeneity and the Fully Modified OLS Estimator PART 3: APPLICATIONS The Demand for Money The Term Structure of Interest Rates The Phillips Curve The Exchange Rate and Purchasing Power Parity PART 4: EXTENSIONS Multivariate Models and Cointegration Applications of Multivariate Models Involving Cointegration Autoregressive Conditional Heteroscedasticity: Modelling Volatility
- 巻冊次
-
: pbk ISBN 9780333802465
内容説明
This new text is designed to make modern econometric techniques accessible and understandable to the non-specialist. It introduces and explains techniques that are now widely used in applied work, although rarely introduced in any detail in introductory level texts, such as integrated time series, cointegration, simulation analysis, Johansen's Approach to multivariate co-integration and ARCH. The author explains the central distinction between stationary and nonstationary time series, which is of crucial importance in many areas of analysis, especially in macroeconomics and financial economics.
Visit: www.palgrave.com/economics/patterson for more information
目次
PART 1: FOUNDATIONS Economics and Quantitative Economics.- Some Preliminaries.- An Introduction to Stationary and Non-Stationary Random Variables.- PART 2: ESTIMATION AND SIMULATION A Review of Estimation and Model Building: The Bivariate Case.- Extending Estimation and Model Building to Several Regressors.- An Introduction to Nonstationary Univariate Time Series Models.- Developments of Nonstationary Univariate Time Series Models.- Stationarity and Nonstationarity in Single Equation Regression Analysis.- Endogeneity and the Fully Modified OLS Estimator.- PART 3: APPLICATIONS The Demand for Money.- The Term Structure of Interest Rates.- The Phillips Curve.- The Exchange Rate and Purchasing Power Parity.- PART 4: EXTENSIONS Multivariate Models and Cointegration.- Applications of Multivariate Models Involving Cointegration.- Autoregressive Conditional Heteroscedasticity: Modelling Volatility.
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