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An Introduction To Applied Econometrics, by Kerry Patterson
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Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist texts, such as integrated time series, cointegration, simulation analysis, Johansen's Approach to multivariate co-integration and ARCH. The author explains the central distinction between stationary and nonstationary time series, which is of crucial importance in many areas of analysis, especially in macroeconomics and financial economics.
- Sales Rank: #3585511 in Books
- Published on: 2000-10-13
- Ingredients: Example Ingredients
- Original language: English
- Number of items: 1
- Dimensions: 9.82" h x 1.90" w x 7.40" l, 3.38 pounds
- Binding: Paperback
- 797 pages
Review
'...I believe this is the kind of book that could be adopted by all undergraduates that are taking courses involving econometrics...No text other than this one gives such comprehensive coverage. This text has an excellent chance of filling a gap in the market and quickly establishing itself as a main player.' - Steve Leybourne, Professor of Econometrics, University of Nottingham 'An Introduction to Applied Econometrics is terrific.' - Tamer Kulaksizoglu 'This is a book with a strong applied focus and stress on accessibility...Patterson shows a helpful ability to explain things simply without compromising accuracy...the text is replete with references to actual data and a hefty section is given over to detailed exploration of four macroeconomic applications. The laudable aim is to bring the advances of the past 20 years in time series econometrics to the attention of the prospective applied economist, and this is an aim that it deserves to achieve.' - Ian Preston, Times Higher Educational Supplement '...a godsend! a portable supervisor...this has filled a much needed void.' - student, Bristol University 'I've finally found the book I need, like a long lost friend.' - Harry Kerwin, student at the University of Malta 'It is an impressive book and I plan to use it in a course in Applied Econometrics.' - Professor D.N. Gujarati, Professor of Econometrics, West Point Military Academy 'It is well written and very user friendly. Many people attempting to come to terms with econometrics find the extensive use of matrix algebra in so called 'introductory texts' very difficult so that to find modern econometrics taught in such an accessible format should make your text a winner.' - Dr John C.B. Cooper, Glasgow Caledonian University '...Patterson writes in a persuasive, clear and authoritative style which will appeal widely to students. A particular strength of the book is its clear exposition of the most modern of techniques, backed up with solid and relatively practical discussions of applications...I would personally adopt this book.' - David Sapsford, Professor of Econometrics, Lancaster University Praise for the textbook website to accompany this text: 'Great, a free economics website with class!' - Liam Daley, Student, Cambridge University
About the Author
KERRY PATTERSON is Professor of Econometrics at the University of Reading. He was previously Economist and Consultant Senior Economic Adviser at the Bank of England.
Most helpful customer reviews
26 of 26 people found the following review helpful.
The Long waiting gift for beginners in time series
By A Customer
There are many good books on time series analysis, i.e. Enders (1995), Hamilton (1994), and Maddala and Kim (1998). Unfortunately, the books is intended for advance learner. While Enders (1995) is accessible for begginners, it seems getting old and become a nostalgia.
Fortunately, Patterson (2001) has provided a readability book for student and practitioner that all this time has been forgotten by most writers in this subject. Without going into much frighteners (and more likely will confuse the beginners) advance mathematical, matrix, and econometric theory; the book give theoretical insight into what is supposed to be known in the subject. While this book is only a complete refresher (and could be boring) for advance learner, I cannot find a better introduction book.
As detailed reference textbook, it covers basic subject on time series (i.e. ADF test, Engle-Granger procedure, cointegration, VAR, and VECM) up to several higher-level issues such as multiple unit roots, structural and seasonal problems in unit roots/cointegration, ARCH, and GARCH. This book is intended to provide students, researchers, and forecasters with a definitive, self-contained survey of time series analysis.
With intensive application, the book will attract applied academician and practitioner in business sector. 5 chapters exclusively dedicate for application, this equal to 30% of the book contain (around 230 page from 750 page contain). The subject cover in application section are popular subject: money demand, term and structure interest rate, Phillips curve, and exchnage rate. More examples also available in every chapter. From this point of view, the book delivery what its promise in the title: "Applied Econometric; A Time Series Approach".
With such a simplifying way in explaining the subject, the book will be a richly enjoy reading for undergraduate and first year graduate students of all sciences, not only in economics. This much-needed book synthesizes major developments in Time Series into a single, coherent presentation of the current state of the art of this increasingly important field.
4 of 8 people found the following review helpful.
The panacea for studying a stimulated-simulated approach TSA
By microoikonomia@hotmail.com
Looking for miracles before examination? This is the book that I have depended on for 2 months to understand time series analysis in a logical manner. The book is an impetus for a much more simpler approach in studying econometrics. The matrix method was not left out which is a stride in understanding the greater complexities of mathematics involved in many econometrics textbook. Written in a lively fashioned aligned with some of the famous empirical studies which are pillars of modern economic thinking. The approach is based on the authors' thinking to act as a support function for many students who are indeed interested to learn the values of empirical analysis in economics. Without this book I would have never apotheosised the study of econometrics in this way. I congratulate the author for his successful scholarly work!!! Your book paved way to my success!
1 of 1 people found the following review helpful.
Very useful book
By Claudio H. Dos Santos
This book is useful for several reasons. First, it is readabale without being a collection of "how to" recipes (like, for instance, the book by Enders). It tries hard to provide a theoretical context to the results it presents, and almost always succeeds in so doing. Second, it focuses on selected (4 or 5) but "meaningful" applications (i.e. with all the steps necessary for actual publication, at least back in 1998), dedicating whole chapters to each of them. Third, it contains possibly the best textbook chapter ever written on cointegration (chapter 8, a pearl in my opinion). The VAR-VECM chapters are good too.
The book is not perfect, though. First, it got old soon. There is little or nothing on cointegration and unit root testing with structural breaks, nothing on panel data cointegration, etc. Second, chapter 9 (on endogeneity and the FM-OLS estimator) is somewhat difficult and a little outdated (I mean, who uses FM-OLS estimators in this day and age? What about DOLS?). All in all, is still a nice introduction to time series analysis to people who need to understand why and how things are done in a particular way, as opposed to just how they are done.
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