Dynamic Econometrics: Models and Applications - Couverture souple

Bismans, Francis J.; Damette, Olivier

Couverture souple

ISBN 10 : 3031729099 ISBN 13 : 9783031729096

Editeur : Palgrave Macmillan, 2025

Synopsis

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.

A propos du livre

À propos de l'auteur

Francis Bismans is Professor in Economics and Statistics, University of Lorraine, France.

Olivier Damette is Professor in Economics, University of Lorraine, France.

Détails de l'édition

• Éditeur: Palgrave Macmillan
• Date d'édition: 2025
• Langue: anglais
• ISBN 10: 3031729099
• ISBN 13: 9783031729096
• Reliure: Broché
• Nombre de pages: 372
• Coordonnées du fabricant: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3,69115 Heidelberg, Germany; Heidelberg; 69115; Allemagne