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Author Alemayehu Geda Fole,
Title Applied time series econometrics : a practical guide for macroeconomic researchers with a focus on Africa / Alemayehu Geda, Njuguna Ndung'u, Daniel Zerfu.
Imprint Nairobi : University of Nairobi Press : African Economic Research Consortium, 2012.

Author Alemayehu Geda Fole,
Subject Time-series analysis.
Macroeconomics -- Econometric models.
Alt Name Ndung'u, Njuguna,
Daniel Zerfu,
Description 1 online resource (x, 189 pages) : illustrations
Bibliography Note Includes bibliographical references (pages 179-185) and index.
Note Print version record.
Contents Cover; Title page; Copyright page; Contents; List of Figures; List of Tables; List of Illustrations; List of Boxes; About Authors; Preface and Acknowledgment; Chapter 1 -- INTRODUCTION; Chapter 2 -- MODEL SPECIFICATION; The Theoretical Model; Data Exploration with STATA: A Brief View; Narrowing Down the Research Question and Coping with Model Specification; From Model Specification to Estimation; Chapter 3 -- TIME SERIES PROPERTIES OF MACRO VARIABLES: TESTING FOR UNIT ROOTS; Introduction; Theoretical Time Series Issues; Unit Root Tests; Problems With Unit Root Testing.
Chapter 4 -- COINTEGRATION ANALYSISIntroduction to Cointegration (CI) and Error Correction Models (ECM); The Engle-Granger (EG) Two-Step Approach; Some Relevant Mathematical Concepts: Matrices and Eigen Values; Johansen's Multivariate Approach: Identification of the Betacoefficient and Restriction Tests; An Application of the Johansen Approach Using Ethiopian Consumption Data; Modelling PPP using Data from Mozambique: The Nice Case of One Cointegration Vector; Handling Two Cointegrating Vectors: Kenya's Exchange Rate Model; Problems of Cointegration with I(2) Variables.
Empirical Results: Capital Stock and Production Function for EthiopiaConclusion; Chapter 5 -- THE ECONOMETRICS OF FORECASTING: THEORY AND APPLICATION; Introduction; Graphics for Forecasting; The Box-Jenkins Approach to Forecasting; Forecasting with Regression; Multiple Equation Forecasting Models; Impulse Response Analysis Using VAR Model: An Application with Kenyan and Ethiopian Data; Chapter 6 -- AN INTRODUCTION TO PANEL UNIT ROOTS AND COINTEGRATION; Introduction; Panel Unit Root Tests; Testing for Cointegration in Panel Data.
Illustration: Panel Cointegration Tests of an Oil Consumption Equation in 11 African CountriesConclusion; APPENDICIES; Appendix: Review of Basic Statistics for Time Series Econometrics; Reference and Further Readings; A GUIDE FOR FURTHER READINGS; INDEX; Back cover.
ISBN 9789966792396 (electronic bk.)
9966792392 (electronic bk.)
OCLC # 925522520
Additional Format Print version: Alemayehu Geda Fole. Applied time series econometrics 9789966792112 (OCoLC)830032462

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