Time Series And Data Econometrics

This book is concerned with recent developments in time series and data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless -friendly, of the time series techniques dealing with univariate and multivariate time series models, as well as data models. It is distinct from other time series texts in the sense that it also covers data models and attempts at a more coherent integration of time series, multivariate analysis, and data models. It builds on the author's extensive research in the areas of time series and data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual.It begins with an overview of basic econometric and statistical techniques, and provides an of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices