TY  - BOOK
AU  - Bismans,Francis J.
AU  - Damette,Olivier
TI  - Dynamic Econometrics: Models and Applications
T2  - Bibliothèque de l'économiste,
SN  - 9783031729096
U1  - 330.0151 B69D 
PY  - 2025///
CY  - Cham
PB  - Palgrave Macmillan Cham
KW  - Econometrics
KW  -  Economic Theory
KW  - Quantitative Economics
KW  - Mathematical Methods
KW  - Applications of Mathematics
KW  - Statistical Theory and Methods
N1  - Includes bibliographical references (pages 301-328) and index
N2  - 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
UR  - https://link.springer.com/book/10.1007/978-3-031-72910-2
ER  -