Lien ebook : https://bibliotheque.univ-catholille.fr/Default/doc/nlebk/10...

eISBN : 9780198759980

Sommaire :
Preface

Part I Introduction to Econometrics

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

Part II Statistical Theory
8 Asymptotic Theory
9 Maximum Likelihood Estimation
10 Generalized Method of Moments
11 Model Selection and Testing Non-Nested Hypotheses

Part III Stochastic Processes
12 Introduction to Stochastic Processes
13 Spectral Analysis

Part IV Multivariate Time Series Models
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

Part V Multivariate Time Series Models
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

Part VI Panel Data Econometrics
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

Appendices
References
Index

Langue : Anglais

Lieu d'édition : OXFORD

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque