Cover

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Title page, Copyright

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Contents

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pp. v-vi

List of Figures

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pp. vii-viii

List of Tables

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pp. viii-ix

List of Illustrations

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p. x

List of Boxes

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p. x

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About Authors

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pp. xi-xii

Alemayehu Geda is Professor of Economics at the Department of Economics, Faculty of Business and Economics, Addis Ababa University. He is also a Research Associate of the University of London (SOAS, London), the UN Economic Commission for Africa (ECA), Addis Ababa, African Economic Research...

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Preface and Acknowledgment

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pp. xiii-xiv

Writing a book like this represents the work of a number of people, friends and colleagues. It is also basically a compilation of ideas from great econometric textbooks. We would like to record our gratitude to those superb authors whose classic textbooks we have used extensively in the course of writing this book. We...

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1. Introduction

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pp. 1-6

Econometric analysis entails an economic theory-inspired dialogue with nonexperimental economic data with a view to arriving at a model which presents an adequate, yet parsimonious model of the underlying phenomenon. Econometrics of time series has a long history from its formative stage at the Cowles Commission...

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2. Model Specification

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pp. 7-26

Suppose a researcher wants to examine the determinants (or conditions) of investment in Kenya. When working on this topic one has to have knowledge of econometrics to investigate the macroeconomic determinants of private investment in Kenya. The researcher may have observed the available data and trends in the data and...

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3. Time Series Properties of Macro Variables: Testing for Unit Roots

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pp. 27-44

The last three decades 1970–2000, witnessed a revolution in time series econometrics. This followed the classic work of Engle and Granger (1987) and its subsequent development by important contributors that include the econometric team in UK which is led by David Hendry. Their fundamental contribution is to...

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4. Cointegration Analysis

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pp. 45-116

The classical regression model assumes that the dependent and independent variables are stationary over time. Most economic variables, however, exhibit long-run trend movement and only become stationary after they are differenced. Applying the classical regression techniques to the levels of variables leads to a...

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5. The Econometrics of Forecasting: Theory and Application

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pp. 117-144

Forecasting economic variables is an important element in policy design and analysis. In this chapter, our interest is to forecast a single variable (as opposed to forecasting in macro model framework) such as growth rate, inflation or exchange rate and learn how the variable behaves in the subsequent periods. For instance, one...

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6. An Introduction to Panel Unit Roots and Cointegration

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pp. 145-164

As Arellano and Honore (2000) noted, panel data analysis is the watershed of timeseries and cross-section analysis. Unlike our analysis thus far, in this chapter we add one dimension to the time series dimension which we have been discussing. This dimension is – the cross section dimension which could be firms, countries or any...

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Appendicies

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pp. 165-178

The conditional expectation plays a crucial role in modern econometric analysis. Although it is not always explicitly stated, the goal of most applied econometric studies is to estimate or test hypotheses about the expectation of one variable—called the explained variable, the dependent variable. This variable, call it Y is given...

A Guide for Further Readings

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pp. 179-186

Index

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pp. 187-189

Back cover

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