Pesaran H. Time Series and Panel Data Econometrics 2015

Textbook in PDF format

This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides an account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It attempts at an integration of time series, multivariate analysis, and panel data models. It builds on previous research in the areas of time series and panel data analysis, particularly recent developments in the analysis of panels with a large time series dimension and covers a wide variety of topics. The book begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 with applications to economic variables like real output and inflation and financial variables like, interest rates, exchange rates, and stock prices.
Introduction to Econometrics
Statistical Theory
Stochastic Processes
Univariate Time Series Models
Multivariate Time Series Models
Panel Data Econometrics