Applied Time Series Econometrics with Gretl: A Practical Guide Using Price Transmission Applications

This book provides a practical introduction to applied time series econometrics through a combination of theory, empirical applications, and step-by-step implementation in the open-source software Gretl. Rather than emphasizing mathematical derivations, it focuses on the skills required to estimate, interpret, and evaluate time series models with real data. Price transmission analysis in agri-food markets serves as the unifying empirical framework, while the methods presented apply across economics, finance, energy, and business. Topics include time series components and stationarity, unit root testing, distributed lag and dynamic regression models, cointegration by the Engle-Granger and Johansen methods, error correction models and their asymmetric extensions, VAR and VECM systems, Granger causality, impulse response functions, forecast error variance decomposition, and residual diagnostics. Every chapter combines theoretical explanation with detailed Gretl implementation and interpretation of the output. All empirical applications use a single dataset of producer and retail prices, which is openly available, so that every figure and every number printed in the book can be reproduced. This is the first volume in the Applied Time Series Econometrics Series.