Dynamic Econometrics

Name: Dynamic Econometrics
Brand: Springer, Berlin
SKU: 9783031729096
Price: 86.8 EUR
Availability: InStock

Models and Applications

Автор: Francis J. Bismans, Olivier Damette

Език:

Корици: С меки корици

Издател: Springer, Berlin

Наличност: Външен склад

Изпращаме след 5-8 дни

86.80 € 169.76 лв

This textbook for advanced econometrics students introduces key concepts of dynamic non-stationary m...

Информация за книгата

Автор

Francis J. Bismans, Olivier Damette

Език

Английски език

Корици

Книга - С меки корици

Издадена

2025

страници

400

EAN

9783031729096

Enbook ID

46477937

Издател

Springer, Berlin

Теглоt

564

Размери

155 x 235

Пълно описание

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. Chapters cover topics including non-stationary stochastic processes, unit root tests, Monte Carlo simulations, heteroskedasticity, autocorrelation, cointegration and error correction, models specification, vector autoregressions and panel data models. Going beyond just introducing students to advanced dynamic analysis, the book 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.

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Dynamic Econometrics

Models and Applications

Информация за книгата

Пълно описание

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