Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. Many mathematical tools are needed to solve these models. The book presents various methods for computing the dynamics of general equilibrium models. In part I, the representative-agent stochastic...

"This book reviews the three most popular methods (and their extensions) in applied economics and other social sciences: matching, regression discontinuity, and difference in differences. The book introduces the underlying econometric/statistical ideas, shows what is identified and how the...

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...