An Introduction to Applied Econometrics: A Time Series Approach
By: Kerry Patterson (author)Paperback
2 - 4 weeks availability
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.
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
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- ID: 9780333802465
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