This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides an account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It attempts at an integration of time series, multivariate analysis, and panel data models. It builds on previous research in the areas of time series and panel data analysis, particularly recent developments in the analysis of panels with a large time series dimension and covers a wide variety of topics. The bo ... time series data, panel data, financial data, econometrics, rational expectations, model selection,spectral density, unit roots, cointegration, impulse response analysis, forecasting, structural VARs, aggregation,global VARs