Dynamic Econometrics - Models and Applications

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.

List of contents

1. General Introduction.- 2. Dynamics in Econometrics.- 3. Estimating the Model.- 4. Testing the Model.- 5. Non-Stationarity and Cointegration.- 6. Specifying the ARDL Model.- 7. Vector Autoregressions.- 8. Panel Data Models.- 9. Non-Stationary Panels.- 10. The Binary Qualitative Model.

About the author

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

Product details

• Authors: Francis J Bismans, Francis J. Bismans, Olivier Damette
• Publisher: Springer, Berlin
• Original title: Économétrie dynamique - Modèles et applications
• Languages: English
• Product format: Paperback / Softback
• Released: 09.02.2025
• EAN: 9783031729096
• ISBN: 978-3-0-3172909-6
• No. of pages: 349
• Illustrations: XXII, 349 p. 31 illus., 2 illus. in color.
• Subjects: Social sciences, law, business > Business > Economics; Wirtschaftstheorie und -philosophie, Wahrscheinlichkeitsrechnung und Statistik, Angewandte Mathematik, Panel Data, Mathematics in Business, Economics and Finance, Quantitative Economics, Econometrics, Linear Models and Regression, cointegration, least squares, Probit Models, Non-stationary models, Non-Linear Models, Vector autoregressions, Advanced econometric modelling, Dynamic Econometrics, ARDL Models