An Introduction to Applied Econometrics

A Time Series Approach

Kerry Patterson (Autor)

Buch | Softcover

795 Seiten

2000
Red Globe Press (Verlag)
978-0-333-80246-5 (ISBN)

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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.

Accompanying online resources for this title can be found at bloomsburyonlineresources.com/an-introduction-to-applied-econometrics. These resources are designed to support teaching and learning when using this textbook and are available at no extra cost.

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.

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.

Erscheint lt. Verlag	29.6.2000
Sprache	englisch
Maße	190 x 246 mm
Gewicht	1540 g
Themenwelt	Wirtschaft ► Allgemeines / Lexika
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	0-333-80246-2 / 0333802462
ISBN-13	978-0-333-80246-5 / 9780333802465
Zustand	Neuware