An Introduction to Applied Econometrics : A Time Series Approach

ISBN-13: 9780333802465 / Angielski / Miękka / 2000 / 795 str.

Kerry Patterson

Opis

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.
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Spis treści

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.

O autorze

KERRY PATTERSON is Professor of Econometrics at the University of Reading. He was previously Economist and Consultant Senior Economic Adviser at the Bank of England.