Dynamic econometrics: models and applications

By:

Bismans, Francis J

Contributor(s):

Damette, Olivier

Material type: Text

TextPublication details: Switzerland Springer 2025Description: xxii,349pISBN:

9783031729096

Subject(s):

Econometrics

DDC classification:

330.015195 BIS

Summary: This textbook for advanced econometrics students introduces key concepts of dynamic non-stationary modelling. It discusses all the classic topics in time series analysis and linear models containing multiple equations, as well as covering panel data models, and non-linear models of qualitative variables. The book offers a general introduction to dynamic econometrics and covers topics including non-stationary stochastic processes, unit root tests, Monte Carlo simulations, heteroskedasticity, autocorrelation, cointegration and error correction mechanism, models specification, and vector autoregressions. Going beyond advanced dynamic analysis, the book also meticulously analyses the classical linear regression model (CLRM) and introduces students to estimation and testing methods for the more advanced auto-regressive distributed lag (ARDL) model. The book incorporates worked examples, algebraic explanations and learning exercises throughout. It will be a valuable resource for graduate and postgraduate students in econometrics and quantitative finance as well as academic researchers in this area. (https://link.springer.com/book/10.1007/978-3-031-72910-2)

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Public Policy & General Management	330.015195 BIS (Browse shelf(Opens below))	1	Available		009157

Browsing Indian Institute of Management LRC shelves, Shelving location: General Stacks, Collection: Public Policy & General Management Close shelf browser (Hides shelf browser)

Previous								Next
Previous	330.015195 BHA Principles of econometrics:	330.015195 BHA Principles of econometrics:	330.015195 BHA Principles of econometrics:	330.015195 BIS Dynamic econometrics: models and applications	330.015195 CER Econometric evaluation of socio-economic programs: theory and application	330.015195 DOU Introduction to econometrics	330.015195 FRA Enjoyable econometrics	Next

Front Matter
Pages i-xxii
General Introduction
Francis J. Bismans, Olivier Damette
Pages 1-32
Dynamics in Econometrics
Francis J. Bismans, Olivier Damette
Pages 33-63
Estimating the Model
Francis J. Bismans, Olivier Damette
Pages 65-98
Testing the Model
Francis J. Bismans, Olivier Damette
Pages 99-132
Non-stationarity and Cointegration
Francis J. Bismans, Olivier Damette
Pages 133-167
Specification of the ARDL Model
Francis J. Bismans, Olivier Damette
Pages 169-196
On Vector Autoregressions
Francis J. Bismans, Olivier Damette
Pages 197-227
Panel Data Models
Francis J. Bismans, Olivier Damette
Pages 229-261
Non-stationary Panels
Francis J. Bismans, Olivier Damette
Pages 263-293
The Binary Qualitative Model
Francis J. Bismans, Olivier Damette
Pages 295-324
Back Matter
Pages 325-349

This textbook for advanced econometrics students introduces key concepts of dynamic non-stationary modelling. It discusses all the classic topics in time series analysis and linear models containing multiple equations, as well as covering panel data models, and non-linear models of qualitative variables.

The book offers a general introduction to dynamic econometrics and covers topics including non-stationary stochastic processes, unit root tests, Monte Carlo simulations, heteroskedasticity, autocorrelation, cointegration and error correction mechanism, models specification, and vector autoregressions. Going beyond advanced dynamic analysis, the book also meticulously analyses the classical linear regression model (CLRM) and introduces students to estimation and testing methods for the more advanced auto-regressive distributed lag (ARDL) model. The book incorporates worked examples, algebraic explanations and learning exercises throughout. It will be a valuable resource for graduate and postgraduate students in econometrics and quantitative finance as well as academic researchers in this area. (https://link.springer.com/book/10.1007/978-3-031-72910-2)

There are no comments on this title.

to post a comment.