Dynamic Econometrics

Models and Applications

Francis J. Bismans, Olivier Damette

• Publisher: Palgrave Macmillan
• Year: 2025
• Print ISBN: 9783031729096
• eBook ISBN: 9783031729102
• Topic: Economics
• Subtopic: Econometrics
• Index: Economics

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.

Table of contents

• Cover
• Front Matter
• 1. General Introduction
• 2. Dynamics in Econometrics
• 3. Estimating the Model
• 4. Testing the Model
• 5. Non-stationarity and Cointegration
• 6. Specification of the ARDL Model
• 7. On Vector Autoregressions
• 8. Panel Data Models
• 9. Non-stationary Panels
• 10. The Binary Qualitative Model
• Back Matter