This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models.It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual.It 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 areillustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

Part I: Introduction to Econometrics; 1 Relationship Between Two Variables; 2 Multiple Regression; 3 Hypothesis Testing in Regression Models; 4 Heteroskedasticity; 5 Autocorrelated Disturbances; 6 Introduction to Dynamic Economic Modelling; 7 Predictability of Asset Returns and the EMH; Part II: Statistical Theory; 8 Asymptotic Theory; 9 Maximum Likelihood Estimation; 10 Generalized Method of Moments; 11 Model Selection and Testing Non-Nested Hypotheses; Part III: Stochastic Processes; 12 Introduction to Stochastic Processes; 13 Spectral Analysis; Part IV: Univariate Time Series Models; 14 Estimation of Stationary Time Series Processes; 15 Unit Root Processes; 16 Trend and Cycle Decomposition; 17 Introduction to Forecasting; 18 Measurement and Modelling of Volatility; Part V: Multivariate Time Series Models; 19 Multivariate Analysis; 20 Multivariate Rational Expectations Models; 21 Vector Autoregressive Models; 22 Cointegration Analysis; 23 VARX Modelling; 24 Impulse Response Analysis; 25 Modelling the Conditional Correlation of Asset Returns; Part VI: Panel Data Econometrics; 26 Panel Data Models with Strictly Exogenous Regressors; 27 Short T Dynamic Panel Data Models; 28 Large Heterogeneous Panel Data Models; 29 Cross Section Dependence in Panels; 30 Spatial Panel Econometrics; 31 Unit Roots and Cointegration in Panels; 32 Aggregation of Large Panels; 33 Theory and Practice of GVAR Modelling; Part VII: Appendices; A Mathematics; B Probability and Statistics; C Bayesian Analysis