Dynamic Econometerics for Empirical Macroeconometric Modelling was published by World Scientific in July 2019. It is a textbook for Masters and PhD students in Economics. About the book:
- A concise presentation on the mathematics of difference equations and how it is used in dynamic econometric modelling
- Methods for non-stationary and co-integrated variables
- Structured chapters on automatic methods for variable selection and forecasting with empirical macroeconometric models
- Complete with end-of-chapter exercises and solutions
In the textbook, the duality between the equilibrium concept used in dynamic economic theory and the stationarity of economic variables is explained and used in the presentation of single equations models and system of equations such as VARs, recursive models and simultaneous equations models.
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