Introduction to Applied Econometrics: A Time Series Approach

Introduction to Applied Econometrics: A Time Series Approach

by Kerry Patterson, K. D. Patterson
     
 

ISBN-10: 0312235135

ISBN-13: 9780312235130

Pub. Date: 10/28/2000

Publisher: Palgrave Macmillan

Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist texts, such as integrated time series, cointegration, simulation analysis, Johansen's Approach to multivariate co-integration and ARCH. The author explains

Overview

Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist 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.

Product Details

ISBN-13:
9780312235130
Publisher:
Palgrave Macmillan
Publication date:
10/28/2000
Pages:
797
Product dimensions:
7.40(w) x 9.82(h) x 1.89(d)

Related Subjects

Table of Contents

Part I: Foundations
• Economics and Quantitative Economics
• Some Preliminaries
• An Introduction to Stationary and Non-Stationary
• Random Variables
Part II: 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 III: Applications
• The Demand for Money
• The Term Structure of Interest Rates
• The Phillips Curve
• The Exchange Rate and Purchasing Power Parity
Part IV: Extensions
• Multivariate Models and Cointegration
• Applications of Multivariate Models Involving Cointegration
• Autoregressive Conditional Heteroscedasticity: Modelling Volatility

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