Cointegration Causality And Forecasting
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Cointegration Causality And Forecasting
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Author : Halbert White
language : en
Publisher: Oxford University Press, USA
Release Date : 1999
Cointegration Causality And Forecasting written by Halbert White and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Cointegration Causality And Forecasting A Comparison Of Linear And Nonlinear Univariate Models For Forecasting Macroeconomic Time Series Norman R Swanson Eric Ghysels And Myles Callan Chapter 2 A Multivariate Time Series Analysis Of The Data Revision Process For Industrial Production And The Composite Leading Indicator Francis X Diebold Anthony S Tay And Kenneth F Wallis Chapter 3 Evaluating Density Forecasts The Survey Of Professional Forecasters Paul Newbold David I Harvey And Stephen J Leybourne Chapter 4 Ranking Competing Multi Step Forecasts David F Hendry And Grayham E Mizon Chapter 5 The Pervasiveness Of Granger Causality In Econometrics James H Stock Chapter 6 A Class For Tests For Integration And Cointegration Helmut Lutkepohl And Pentti Saikkonen Chapter 7 Order Selection In Testing For The Cointegration Rank Of A Var Process Tom Engsted And Soren Johansen Chapter 8 Granger S Representation Theorem And Multicointegration Jesus Gonzalo And Jean Yves Pitarakis Chapter 9 Dimensionality Effect In Cointegration Analysis Luigi Ermini Chapter 10 Testing Dhsy As A Restricted Conditional Model Of A Trivariate Seasonally Integrated System Michio Hatanaka And Kazuo Yamada Chapter 11 A Unit Root Test In The Presence Of Structural Changes In I 1 And I 0 Models Tae Hwy Lee And Stuart Scott Chapter 12 Investigating Inflation Transmission By Stages Of Processing Katarina Juselius Chapter 13 Price Convergence In The Medium And Long Run An I 2 Analysis Of Six Price Indices Halbert White And Yongmiao Hong Chapter 14 M Testing Using Finite And Infinite Dimensional Parameter Estimators Jeffrey M Wooldridge Chapter 15 Asymptotic Properties Of Some Specification Tests In Linear Models With Integrated Processes Vidar Kjellvik And Dag Tjostheim Chapter 16 Residual Variance Estimates And Order Determination In Panels Of Intercorrelated Autoregressive Time Series Farshid Vahid Chapter 17 Partial P
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Author : Engle, Robert F. Engle
language : en
Publisher:
Release Date : 1999
Cointegration Causality And Forecasting A Comparison Of Linear And Nonlinear Univariate Models For Forecasting Macroeconomic Time Series Norman R Swanson Eric Ghysels And Myles Callan Chapter 2 A Multivariate Time Series Analysis Of The Data Revision Process For Industrial Production And The Composite Leading Indicator Francis X Diebold Anthony S Tay And Kenneth F Wallis Chapter 3 Evaluating Density Forecasts The Survey Of Professional Forecasters Paul Newbold David I Harvey And Stephen J Leybourne Chapter 4 Ranking Competing Multi Step Forecasts David F Hendry And Grayham E Mizon Chapter 5 The Pervasiveness Of Granger Causality In Econometrics James H Stock Chapter 6 A Class For Tests For Integration And Cointegration Helmut Lutkepohl And Pentti Saikkonen Chapter 7 Order Selection In Testing For The Cointegration Rank Of A Var Process Tom Engsted And Soren Johansen Chapter 8 Granger S Representation Theorem And Multicointegration Jesus Gonzalo And Jean Yves Pitarakis Chapter 9 Dimensionality Effect In Cointegration Analysis Luigi Ermini Chapter 10 Testing Dhsy As A Restricted Conditional Model Of A Trivariate Seasonally Integrated System Michio Hatanaka And Kazuo Yamada Chapter 11 A Unit Root Test In The Presence Of Structural Changes In I 1 And I 0 Models Tae Hwy Lee And Stuart Scott Chapter 12 Investigating Inflation Transmission By Stages Of Processing Katarina Juselius Chapter 13 Price Convergence In The Medium And Long Run An I 2 Analysis Of Six Price Indices Halbert White And Yongmiao Hong Chapter 14 M Testing Using Finite And Infinite Dimensional Parameter Estimators Jeffrey M Wooldridge Chapter 15 Asymptotic Properties Of Some Specification Tests In Linear Models With Integrated Processes Vidar Kjellvik And Dag Tjostheim Chapter 16 Residual Variance Estimates And Order Determination In Panels Of Intercorrelated Autoregressive Time Series Farshid Vahid Chapter 17 Partial P written by Engle, Robert F. Engle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Econometrics categories.
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Cointegration Causality And Forecasting
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Author : Robert F. Engle
language : en
Publisher:
Release Date : 1999
Cointegration Causality And Forecasting written by Robert F. Engle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business forecasting categories.
Recent Advances And Future Directions In Causality Prediction And Specification Analysis
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Author : Xiaohong Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-01
Recent Advances And Future Directions In Causality Prediction And Specification Analysis written by Xiaohong Chen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-01 with Business & Economics categories.
This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Forecasting In The Presence Of Structural Breaks And Model Uncertainty
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Author : David E. Rapach
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-02-29
Forecasting In The Presence Of Structural Breaks And Model Uncertainty written by David E. Rapach and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-29 with Business & Economics categories.
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Handbook Of Economic Forecasting
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Author : G. Elliott
language : en
Publisher: Elsevier
Release Date : 2006-07-14
Handbook Of Economic Forecasting written by G. Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-14 with Business & Economics categories.
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
The Oxford Handbook Of Economic Forecasting
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Author : Michael P. Clements
language : en
Publisher: OUP USA
Release Date : 2011-07-08
The Oxford Handbook Of Economic Forecasting written by Michael P. Clements and has been published by OUP USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-08 with Business & Economics categories.
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
A Companion To Economic Forecasting
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Author : Michael P. Clements
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-15
A Companion To Economic Forecasting written by Michael P. Clements and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-15 with Social Science categories.
A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Modeling Time Varying Unconditional Variance By Means Of A Free Knot Spline Garch Model
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Author : Oliver Old
language : en
Publisher: Springer Nature
Release Date : 2022-07-27
Modeling Time Varying Unconditional Variance By Means Of A Free Knot Spline Garch Model written by Oliver Old and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-27 with Business & Economics categories.
The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index.
Time Series Econometrics
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Author : John D. Levendis
language : en
Publisher: Springer Nature
Release Date : 2023-12-23
Time Series Econometrics written by John D. Levendis and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-12-23 with Business & Economics categories.
Revised and updated for the second edition, this textbook allows students to work through classic texts in economics and finance, using the original data and replicating their results. In this book, the author rejects the theorem-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger & Newbold, and Nelson & Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot & Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. Finally, students estimate static and dynamic panel data models, replicating papers by Thompson, and Arellano & Bond. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this book. What makes this book useful is that it provides numerous worked out examples along with basic concepts. It is a fresh, no-nonsense, practical approach that students will love when they start learning time series econometrics. I recommend this book strongly as a study guide for students who look for hands-on learning experience." --Professor Sokbae "Simon" Lee, Columbia University, Co-Editor of Econometric Theory and Associate Editor of Econometrics Journal.