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Panel Time Series Econometrics with R: Dynamic Panels and Mixed Data.
Paperback
Publisher: Independently Published
Published: Sep 11 2025
Pages: 188
Weight: 0.57
Height: 0.40 Width: 6.00 Depth: 9.00
Language: English
Readers are guided through detailed derivations, step-by-step examples, and reproducible R code. Practical case studies illustrate how to model growth convergence, fiscal policy, financial development, and environmental dynamics in a panel setting. Throughout, the text balances accessibility with technical depth-ideal for graduate courses while still serving as a reference for applied researchers.
Key features include:
- Dynamic Panel Methods: In-depth coverage of Arellano-Bond, system GMM, and CCE estimators.
- Unit Roots & Cointegration: Panel extensions of ADF, IPS, Pedroni, and Westerlund tests.
- Cross-Sectional Dependence: Modern approaches to handling global shocks and spillovers.
- Reproducibility: Fully documented R code templates for direct application.
- Practical Appendices: Supplementary derivations, critical values, extended examples, and coding workflows.
Whether you are investigating global financial cycles, government expenditure dynamics, firm productivity, or climate impacts across nations, this book provides both the conceptual foundations and the practical skills to turn panel data into robust, reproducible insights.
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