Econometric Time Series Analysis

Time series econometrics has attracted substantial attention in recent years especially with the 2003 Nobel awards to Professors Clive Granger and Robert Granger. Macroeconomists and Statisticians have become increasingly concerned with the study of the sources of economic fluctuations. Accurate and timely information about what is likely to happen to the economy in the future has always been of great value to business decisions and economic policy makers. The goal of most empirical studies in econometrics and other quantitative sciences is to determine whether a change in one variable causes a change in, or helps to predict another variable. Thus, knowing how economic indicators are related (interrelated) is of great importance. Short and long term planning can be done on the basis of computationally sound statistical analysis of past data. Granger causality modelling approach is quite popular in experimental and non-experimental fields which involve some dynamic econometric time series methodologies.This educative,handy book employs Granger causality and Vector Autoregressive Modelling framework,etc in the empirical modelling of seven economic indicators in a developing economy.