Econometrics Volume 2:Topics for Time Series and Large Panel Data

Pierre Perron

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book is intended for graduate instruction in subjects like econometrics, economics, environmental science, social science and many other fields, at the Masters or PhD levels. It can be used as a textbook or as a reference guide. Several aspects in the book depart from traditional treatments. The emphasis is on understanding the main issues, concepts and methods in Econometrics, how to implement them and how to interpret the results. The mathematical aspects are kept to a minimum as the aim is to provide an intuitive understanding of how various parts fit together, as opposed to a sophisticated mathematical treatment of the subject. Many examples and discussions are provided. Hence, minimal mathematical pre-requisites are needed. Extensive references are also provided to dig deeper into the mathematical aspects of the theories. The second volume deals with various estimation and inference methods applicable when using time series data or with panel data having a large time-dimension. The treatment covers both stationary and non-stationary (i.e., unit root) data as well as long-memory processes. Also covered extensively are issues related to structural change including estimation and inference methods with stationary and/or non-stationary data, related issues in the context of forecasting and methods to address the interplay between changes in trends and unit roots.

Keywords: Specification of Time Series Models; Estimation of Time Series Models; Spectral Analysis; State-Space Models; DSGE Models; Structural Vector Autoregressions; Linear Panel Data Models; Unit Roots; Cointegration; Long-Memory Processes; Volatility Models; Structural Change; Unit Root and Trend Breaks; Forecasting; Numerical Methods (search for similar items in EconPapers)
JEL-codes: C01 C1 C33 C5 C53 (search for similar items in EconPapers)
Date: 2025
ISBN: 9789819810901
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/worldscibooks/10.1142/14247 (text/html)
Ebook Access is available upon purchase

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wsbook:14247

Ordering information: This item can be ordered from

Access Statistics for this book

More books in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().