Elements of Time Series Econometrics: an Applied Approach

The book presents a set of basic and advanced techniques and procedures used in econometric time series analysis. The book emphasizes on enabling the effective use of the described techniques in applied economic research. This is achieved by presenting the theoretical foundations of econometrics together with an intuitive explanation of the issues and by illustrating the individual techniques with the results of current research, especially in the context of the recent economic transformation process and current European integration. This approach makes the book not only a textbook in the classical sense, but also a useful reference source, as the references in the book link classical and modern econometric literature to contemporary applications where the application of each technique is clearly understood. Many of the uses are based on the authors' extensive previous work in the field. The text of the book is divided into five main parts. < br> The first part, "The Nature of Time Series", provides an introduction to the analysis of time series and a description of their most important characteristics, properties and processes. < br> The second part, "Difference Equations", briefly describes the theory of differential equations with emphasis on aspects that are key in time series econometrics. The third part, "Univariate Time Series", describes quite extensively the techniques used in the analysis of individual time series without their interaction with each other and includes both linear and non-linear modelled structures. The fourth part, "Multiple Time Series", describes models that allow the analysis of several time series and their interactions. The fifth section, "Panel Data and Unit Root Tests", covers some techniques based on panel data that add a time dimension to cross-sectional data and relate to convergence analysis. The book concludes with an introduction to simulation techniques and statistical tables.