An introduction to applied econometrics : a time series approach / Kerry Patterson.
"Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist texts, such as integrated time series, cointegration, simulation analysis, Johanse...
Saved in:
| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
New York :
St. Martin's Press,
2000.
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| Subjects: |
MARC
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| 100 | 1 | |a Patterson, K. D., |e author. |9 227609 | |
| 245 | 1 | 3 | |a An introduction to applied econometrics : |b a time series approach / |c Kerry Patterson. |
| 264 | 1 | |a New York : |b St. Martin's Press, |c 2000. | |
| 300 | |a xxvii, 795 pages : |b illustrations ; |c 26 cm | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 504 | |a Includes bibliographical references (pages 760-773) and index. | ||
| 505 | 0 | 0 | |t Economics and quantitative economics -- |t Description, construction and models in economics -- |t The scope of model building in quantitative economics -- |t A historical debate -- |t Present-day concerns -- |t Stylisations of methodology -- |t The structure and aims of this book -- |t General aims -- |t Parts and chapters -- |t General comments about the structure of this book -- |t Distinguishing characteristics of the data -- |t Series and cross-section data -- |t Time series graphs -- |t Frequency -- |t Dimension of a variable -- |t Some examples of time series data -- |t Nonexperimental data -- |t Experimental data -- |t Lagging and leading time series data -- |t Lagging time series data -- |t Leading time series data -- |t The lag operator -- |t Definition of the lag operator -- |t The lag polynomial -- |t Obtaining the sum of the lag coefficients -- |t A univariate dynamic model -- |t Bivariate relationships -- |t A deterministic bivariate model -- |t A stochastic bivariate model -- |t Visual representation of two variables -- |t Dynamic bivariate models -- |t Autoregressive distributed lag (ADL) models -- |t The distributed lag function -- |t More than one conditioning variable -- |t Notation in more complex models -- |t Several equations together -- |t An introduction to stationary and nonstationary random variables -- |t Time series with a varying mean -- |t Random variables -- |t The expected value of a random variable -- |t The variance of a random variable -- |t Continuous random variables -- |t Joint events, covariance, autocovariance and autocorrelation -- |t Joint events -- |t Covariance and autocovariance -- |t Conditional expectation -- |t Autoregressive conditional heteroscedasticity: modelling volatility -- App. Statistical tables. |
| 520 | |a "Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist 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."--Publisher description. | ||
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