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Time series and panel data econometrics için kapak resmi
Başlık:
Time series and panel data econometrics
Yazar:
Pesaran, M. Hashem, 1946- author
ISBN:
9780198759980

9780198736912
Fiziksel Tanımlama:
xxx, 1064 pages : tables ; 25 cm.
İçerik:
Relationship between two variables -- Multiple regression -- Hypothesis testing in regression models -- Heteroskedasticity -- Autocorrelated disturbances -- Introduction to dynamic economic modelling -- Predictability of asset returns and the efficient market hypothesis -- Asymptotic theory -- Maximum likelihood estimation -- Generalized method of moments -- Model selection and testing non-nested hypotheses -- Introduction to stochastic processes -- Spectral analysis -- Estimation of stationary time series processes -- Unit root processes -- Trend and cycle decomposition -- Introduction to forecasting -- Measurement and modelling of volatility -- Multivariate analysis -- Multivariate rational expectations models -- Vector autoregressive models -- Cointegration analysis -- VARX modelling -- Impulse response analysis -- Modelling the conditional correlation of asset returns -- Panel data models with strictly exogenous regressors -- Short T dynamic panel data models -- Large heterogeneous panel data models -- Cross-sectional dependence in panels -- Spatial panel econometrics -- Unit roots and cointegration in panels -- Aggregation of large panels -- Theory and practice of GVAR modelling -- Appendices: A. Mathematics -- B. Probability and statistics -- C. Bayesian analysis.
Özet:
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.
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Kitap EKOBKN0001900 330.015195 PER 2015
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