Gls Detrending Efficient Unit Root Tests And Structural Change
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Gls Detrending Efficient Unit Root Tests And Structural Change
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Author : Perron, Pierre
language : en
Publisher: Montréal : Université de Montréal, Dép. de sciences économiques
Release Date : 1998
Gls Detrending Efficient Unit Root Tests And Structural Change written by Perron, Pierre and has been published by Montréal : Université de Montréal, Dép. de sciences économiques this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Unit Roots And Structural Breaks
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Author : Pierre Perron
language : en
Publisher: MDPI
Release Date : 2018-04-13
Unit Roots And Structural Breaks written by Pierre Perron and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-04-13 with Electronic book categories.
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Unit Roots Cointegration And Structural Change
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Author : G. S. Maddala
language : en
Publisher: Cambridge University Press
Release Date : 1998
Unit Roots Cointegration And Structural Change written by G. S. Maddala and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
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.
Unit Root Tests In Time Series Volume 2
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Author : K. Patterson
language : en
Publisher: Springer
Release Date : 2012-07-05
Unit Root Tests In Time Series Volume 2 written by K. Patterson and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-05 with Business & Economics categories.
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Handbook Of Research Methods And Applications In Empirical Macroeconomics
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Author : Nigar Hashimzade
language : en
Publisher: Edward Elgar Publishing
Release Date : 2013-01-01
Handbook Of Research Methods And Applications In Empirical Macroeconomics written by Nigar Hashimzade and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-01 with Business & Economics categories.
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
New Trends In Macroeconomics
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Author : Claude Diebolt
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-11-21
New Trends In Macroeconomics written by Claude Diebolt 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 2005-11-21 with Business & Economics categories.
This text provides a new approach to the subject, including a comprehensive survey of novel theoretical approaches, methods, and models used in macroeconomics and macroeconometrics. The book gives extensive insight into economic policy, incorporates a strong international perspective, and offers a broad historical perspective.
Growth Distribution And Effective Demand Alternatives To Economic Orthodoxy
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Author : George Argyrous
language : en
Publisher: Routledge
Release Date : 2019-06-21
Growth Distribution And Effective Demand Alternatives To Economic Orthodoxy written by George Argyrous and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-21 with Business & Economics categories.
Growth, Distribution, and Effective Demand presents original essays on a variety of topics in theoretical and applied economics. The book honors the work of Edward J. Nell and develops interconnected themes that run through the modern Post-Keynesian tradition. The first part deals with the fundamental idea that economic growth is demand-driven, with special attention to policy ramifications. The second theme concerns the connection between economic growth and the structural characteristics of a market economy. These issues are closely linked to a critical tradition that calls into question key elements in orthodox economics. The final part of the book aims to buttress non-orthodox approaches to growth and distribution by critiquing particular aspects of the conventional theory, by elaborating neglected themes in non-orthodox theory, or by exploring some overlooked methodological ideas.
Purchasing Power Parity And Real Exchange Rates
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Author : Mark P. Taylor
language : en
Publisher: Routledge
Release Date : 2013-09-13
Purchasing Power Parity And Real Exchange Rates written by Mark P. Taylor and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-13 with Business & Economics categories.
The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
Macroeconomic Analysis And International Finance
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Author : Georgios P. Kouretas
language : en
Publisher: Emerald Group Publishing
Release Date : 2014-02-20
Macroeconomic Analysis And International Finance written by Georgios P. Kouretas 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 2014-02-20 with Business & Economics categories.
Banking sector transformation, economic growth and inequality and exchange rate arrangements are critical issues whose importance has been highlighted during the recent financial crisis. This volume contains new research on the relationships between economic growth, inequality and the financial sector.
Econometric Modelling With Time Series
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Author : Vance Martin
language : en
Publisher: Cambridge University Press
Release Date : 2013
Econometric Modelling With Time Series written by Vance Martin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and full-information maximum likelihood. In deriving the maximum likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasi-maximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulation-based estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn"-- publisher.