Unit Roots Cointegration And Structural Change

Author : G. S. Maddala,In-Moo Kim
Publisher : Cambridge University Press
Page : 528 pages
File Size : 44,8 Mb
Release : 1998
Category : Business & Economics
ISBN : 0521587824

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Unit Roots, Cointegration, and Structural Change by G. S. Maddala,In-Moo Kim Pdf

Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, cointegration tests, and econometric estimation with integrated regressors. The authors also present the Bayesian approach to these problems and bootstrap methods for small-sample inference. The chapters on structural change discuss the problems of unit root tests and cointegration under structural change, outliers and robust methods, the Markov-switching model and Harvey's structural time series model. Unit Roots, Cointegration and Structural Change is a major contribution to Themes in Modern Econometrics, of interest both to specialists and graduate and upper-undergraduate students.

Author : Pierre Perron
Publisher : MDPI
Page : 167 pages
File Size : 47,7 Mb
Release : 2018-04-13
Category : Electronic book
ISBN : 9783038428114

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Unit Roots and Structural Breaks by Pierre Perron Pdf

This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics

Author : Bhaskara B. Rao
Publisher : Springer
Page : 247 pages
File Size : 46,9 Mb
Release : 2016-07-27
Category : Business & Economics
ISBN : 9781349235292

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Cointegration by Bhaskara B. Rao Pdf

`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.

Author : Badi H. Baltagi
Publisher : Elsevier
Page : 351 pages
File Size : 40,9 Mb
Release : 2000
Category : Business & Economics
ISBN : 9780762306886

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Nonstationary Panels, Panel Cointegration, and Dynamic Panels by Badi H. Baltagi Pdf

In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.

Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
Page : 193 pages
File Size : 43,6 Mb
Release : 2008-09-03
Category : Business & Economics
ISBN : 9780387759678

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Analysis of Integrated and Cointegrated Time Series with R by Bernhard Pfaff Pdf

This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Author : Paramsothy Silvapulle
Publisher : Unknown
Page : 30 pages
File Size : 54,9 Mb
Release : 1995
Category : Monte Carlo method
ISBN : IND:30000112294057

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Unit Root Tests and Structural Breaks by Paramsothy Silvapulle Pdf

Author : Perron, Pierre,Gabriel Rodríguez,Université de Montréal. Centre de recherche et développement en économique
Publisher : Montréal : Université de Montréal, Dép. de sciences économiques
Page : 45 pages
File Size : 41,7 Mb
Release : 1998
Category : Electronic
ISBN : 2893823750

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GLS Detrending, Efficient Unit Root Tests and Structural Change by Perron, Pierre,Gabriel Rodríguez,Université de Montréal. Centre de recherche et développement en économique Pdf

Author : Eric Zivot,Jiahui Wang
Publisher : Springer Science & Business Media
Page : 632 pages
File Size : 43,8 Mb
Release : 2013-11-11
Category : Business & Economics
ISBN : 9780387217635

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Modeling Financial Time Series with S-PLUS by Eric Zivot,Jiahui Wang Pdf

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Author : Pierre Perron
Publisher : Unknown
Page : 128 pages
File Size : 53,7 Mb
Release : 2018
Category : Electronic
ISBN : 3038428124

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Unit Roots and Structural Breaks by Pierre Perron Pdf

Unit Roots and Structural Breaks.

Author : Peter Fuleky
Publisher : Springer Nature
Page : 716 pages
File Size : 45,9 Mb
Release : 2019-11-28
Category : Business & Economics
ISBN : 9783030311506

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Macroeconomic Forecasting in the Era of Big Data by Peter Fuleky Pdf

This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.

Author : Peter Hackl,Anders H. Westlund
Publisher : Springer Science & Business Media
Page : 377 pages
File Size : 41,7 Mb
Release : 2013-06-29
Category : Business & Economics
ISBN : 9783662068243

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Economic Structural Change by Peter Hackl,Anders H. Westlund Pdf

Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".

Author : Cesar Perez Lopez
Publisher : CESAR PEREZ
Page : 223 pages
File Size : 48,5 Mb
Release : 2024-06-17
Category : Business & Economics
ISBN : 9781716278617

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DYNAMIC ECONOMETRIC STRUCTURAL STABILITY, COINTEGRATION AND PANEL DATA by Cesar Perez Lopez Pdf

Usually explanatory variables in an econometric model are supposed related at one time with the endogenous variable, so usually the temporary sub-indices of all variables are equal. However, economic theory and other sciences lead us to dynamic relationship between the variables, since the impacts between variables can become manifest in later periods or extended to many periods. In this way appear dynamic models with variables out in time. Dynamic models usually seen three different situations according to the variables affected by delays. It may be that the delays involved only to exogenous variables, only the endogenous variable or simultaneously to endogenous and exogenous variables. This book covers a wide typology of dynamic models including models with distributed delays, models with stochastic regressors, models with structural change and dynamic panel data models. Widely is the theory of unit roots, the Cointegration and error correction models. And all this from a perspective multi-software, using the latest software on the market suitable for these non-trivial econometric tasks (SAS, EVIEWS, SPSS and STATA).

Author : Michael Binder,Cheng Hsiao,M. Hashem Pesaran
Publisher : Unknown
Page : 80 pages
File Size : 40,6 Mb
Release : 2000
Category : Autoregression (Statistics)
ISBN : UCAL:B4900048

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Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration by Michael Binder,Cheng Hsiao,M. Hashem Pesaran Pdf

Author : In Choi
Publisher : Cambridge University Press
Page : 301 pages
File Size : 51,7 Mb
Release : 2015-05-12
Category : Business & Economics
ISBN : 9781107097339

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Almost All About Unit Roots by In Choi Pdf

Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.

Author : Lászlo Mátyás,Patrick Sevestre
Publisher : Springer Science & Business Media
Page : 950 pages
File Size : 40,6 Mb
Release : 2008-04-06
Category : Business & Economics
ISBN : 9783540758921

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The Econometrics of Panel Data by Lászlo Mátyás,Patrick Sevestre Pdf

This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.