Applied time series econometrics : a practical guide for macroeconomic researchers with a focus on Africa / Alemayehu Geda, Njuguna Ndung'u, Daniel Zerfu
Published
Nairobi : University of Nairobi Press : African Economic Research Consortium, 2012
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
Summary
This book attempts to demystify time series econometrics so as to equip macroeconomic researchers focusing on Africa with solid but accessible foundation in applied time series techniques that can deal with challenges of developing economic models using African data
Bibliography
Includes bibliographical references (pages 179-185) and index
