| Título : |
Time series and panel data econometrics |
| Tipo de documento: |
TEXTO IMPRESO |
| Autores: |
M. Hashem Pesaran |
| Editorial: |
New York : Oxford University Press |
| Fecha de publicación: |
2015 |
| Número de páginas: |
xxx, 1064 p. |
| Dimensiones: |
24 cm. |
| ISBN/ISSN/DL: |
978-0-19-875998-0 |
| Idioma : |
Inglés (eng) |
| Clasificación: |
Econometría ; Series temporales
|
| Clasificación: |
330.43 Econometría |
| Nota de contenido: |
1. Relationship between two variables - 2. Multiple regression - 3. Hypothesis testing in regression models - 4. Heteroskedasticity - 5. Autocorrelated disturbances - 6. Introduction to dynamic economic modelling - 7. Predictability of asset returns and the efficient market hypothesis - 8. Asymptotic theory - 9. Maximun likelihood estimation - 10. Generalized method of moments - 11. Model selection and testing non-nested hypotheses - 12. Introduction to stochastic processes - 13. Spectral analysis - 14. Estimation of stationary time series processes - 15. Unit root processes - 16. Trend and cycle decomposition - 17. Introduction to forecasting - 18. Measurement and modelling of volatility - 19. Multivariate analysis - 20. Multivariate rational expectations models - 21. Vector autoregressive models - 22. Cointegration analysis - 23. VARX modelling - 24. Impulse response analysis - 25. Modelling the conditional correlation of asset returns - 26. Panel data models with strictly exogenous regressors - 27. Short T dynamic panel data models - 28. Large heterogeneous panel data models - 29. Cross-sectional dependence in panels - 30. Spatial panel econometrics - 31. Unit roots and cointegration in panels - 32. Aggregation of large panels - 33. Theory and practice of GVAR modelling |
| Link: |
http://www.biblioeco.unsa.edu.ar/pmb/opac_css/index.php?lvl=notice_display&id=40 |
| Ubicación : |
330.43 P472 |
