April 2000, Wiley-Blackwell
Symbols and Abbreviations.
Part I: Basic Regression Theory.
1. The Linear Regression Model.
2. Statistical Analysis of the Regression Model.
3. Asymptotic Analysis of the Regression Model.
Part II: Dynamic Regression Theory.
4. Modelling Economic Time Series.
5. Principles of Dynamic Modelling.
6. Asymptotics for Dynamic Models.
7. Estimation and Testing.
8. Simultaneous Equations.
Part III: Advanced Estimation Theory.
9. Optimization Estimators I: Theory.
10. Optimization Estimators II: Examples.
11. The Method of Maximum Likelihood.
12. Testing Hypotheses.
13. System Estimation.
Part IV: Cointegration Theory.
14. Unit Roots.
15. Cointegrating Regression.
16. Cointegrated Systems.
Part V: Technical Appendices.
A. Matrix Algebra Basics.
B. Probability and Distribution Theory.
C. The Gaussian Distribution and Its Relatives.
- Covers time series modelling in detail
- Discusses recent advances in estimation and testing theory, cointegration and unit roots
- Presents unique treatment of modern asymptotic theory for time series
- Incorporates material from lectures given at London School of Economics.
"The systematic use of the conditional expectation approach to
modelling throughout the text will provide readers with many useful
insights. It is a very good and thought-provoking book. Much can be
learnt from it, even by 'experts.' Leonard Gill, University of
"The book is stong on linear dynamic modelling of time series
and has an excellent coverage of recent developments in
econometrics for non-stationery time series. Cointegration theory
is given a comprehensive and clear treatment, including an
exposition of the underlying probability background - stockastic
processes on function spaces, Brownian motion and so on - which I
found to enhance understanding considerably. This will be a useful
book, particularly to those teaching advanced courses in
time-series econometrics. Overall, it is a fine and well-written
piece of work.
Times Higher Education Supplement