Introduction to Applied Econometrics : A Time Series Approach - Patterson, Kerry

Introduction to Applied Econometrics : A Time Series Approach

Kerry Patterson

Yayınevi: Palgrave

Yayın tarihi: 06/2000

ISBN: 9780333802465

İngilizce | 832 Sayfa |

Tür: Ekonomi

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Description

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.

Table of Contents

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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