Panel data model with stationary and nonstationary regressors and error terms -- Panel time trend model with stationary and nonstationary error terms -- Estimation of change points in stationary and nonstationary regressors and error term -- Weak instruments in panel data models -- Incidental...

Cover -- Title Page -- Copyright -- Contents -- Chapter 1 Classical Time Series Models and Financial Series -- 1.1 Stationary Processes -- 1.2 ARMA and ARIMA Models -- 1.3 Financial Series -- 1.4 Random Variance Models -- 1.5 Bibliographical Notes -- 1.6 Exercises -- Part I Univariate GARCH...