Dynamic Econometrics. Models and Applications

Le manuel Dynamic Econometrics. Models and Applications, rédigé par Francis Bismans et Olivier Damette, vient de paraître aux éditions Palgrave Macmillan.

Il s’agit de la traduction en anglais de l’ouvrage Économétrie dynamique. Modèles et applications, publié par les deux auteurs aux éditions Ellipses en 2023.

Plus qu’une simple traduction, cette version est enrichie d’un chapitre supplémentaire, d’exercices complémentaires dans chaque chapitre et de fichiers de données en plusieurs extensions (GRETL, PC-Give, Stata et R).

Description éditeur : 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.