Markov Regime Switching And Unit Root Tests

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Markov Regime Switching And Unit Root Tests

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Author : Charles R. Nelson
language : en
Publisher:
Release Date : 2000

Markov Regime Switching And Unit Root Tests written by Charles R. Nelson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Markov processes categories.

We investigate the power and size performance of unit root tests when the true data generating process undergoes Markov regime-switching. All tests, including those robust to a single break in trend growth rate, have very low power against a process with a Markov-switching trend growth rate as in Lam (1990). However, for the case of business cycle non-linearities, unit root tests are very powerful against models used as alternatives to Lam (1990) that specify regime-switching in the transitory component of output. Under the null hypothesis, the received literature documents size distortions in Dickey-Fuller type tests caused by a single break in trend growth rate or variance. We find these results do not generalize to most parameterizations of Markov-switching in trend or variance. However, Markov-switching in variance can lead to over-rejection in tests robust to a single break in the level of trend.

Markov Regime Switching And Unit Root Tests

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Author :
language : en
Publisher:
Release Date :

Markov Regime Switching And Unit Root Tests written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.

The U.S. Federal Reserve Board presents the full text of an article entitled "Markov Regime-Switching and Unit Root Tests," by Charles R. Nelson, Jeremy Piger, and Eric Zivot. The article discusses the power and size performance of unit root tests when the data generating process undergoes Markov regime-switching.

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2020-07-30

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-30 with Business & Economics categories.

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Advances In Longitudinal Data Methods In Applied Economic Research

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Author : Nicholas Tsounis
language : en
Publisher: Springer Nature
Release Date : 2021-03-31

Advances In Longitudinal Data Methods In Applied Economic Research written by Nicholas Tsounis and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-31 with Business & Economics categories.

This volume presents new methods and applications in longitudinal data estimation methodology in applied economic. Featuring selected papers from the 2020 the International Conference on Applied Economics (ICOAE 2020) held virtually due to the corona virus pandemic, this book examines interdisciplinary topics such as financial economics, international economics, agricultural economics, marketing and management. Country specific case studies are also featured.

Advances In Investment Analysis And Portfolio Management New Series Vol 6

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Author : Cheng F. Lee
language : en
Publisher: Center for PBBEFR & Airiti Press
Release Date : 2014-01-01

Advances In Investment Analysis And Portfolio Management New Series Vol 6 written by Cheng F. Lee and has been published by Center for PBBEFR & Airiti Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-01 with Business & Economics categories.

Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.

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.

Economic Integration Currency Union And Sustainable And Inclusive Growth In East Africa

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Author : Almas Heshmati
language : en
Publisher: Springer
Release Date : 2016-04-30

Economic Integration Currency Union And Sustainable And Inclusive Growth In East Africa written by Almas Heshmati and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-30 with Business & Economics categories.

This edited volume focuses on economic integration, currency union, and sustainable and inclusive growth in East Africa. It consists of twelve interrelated studies that provide a comprehensive picture of the state and determinants of economic development and cooperation among countries in East Africa, such as Burundi, Ethiopia, Kenya, Rwanda and Tanzania. The contributions are grouped into five parts: economic integration and its effects on trade; common currency and exchange rate; research, innovation, and knowledge, and shadow economics and corruption; inclusive and sustainable growth; and the conflict-growth nexus and reconstruction. This book will appeal to scholars and decision makers looking for the necessary tools and determinants of economic development and cooperation in East Africa.

The Economics Of Foreign Exchange And Global Finance

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Author : Peijie Wang
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-03-05

The Economics Of Foreign Exchange And Global Finance written by Peijie Wang 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 2009-03-05 with Business & Economics categories.

The book is designed to integrate the theory of foreign exchange rate determi- tion and the practice of global finance in a single volume, which demonstrates how theory guides practice, and practice motivates theory, in this important area of scholarly work and commercial operation in an era when the global market has become increasingly integrated. The book presents all major subjects in international monetary theory, foreign exchange markets, international financial management and investment analysis. The book is relevant to real world problems in the sense that it provides guidance on how to solve policy issues as well as practical management tasks. This in turn helps the reader to gain an understanding of the theory and refines the framework. This new edition of the book incorporates two new chapters, together with - dating most chapters in the first edition, integrating new materials, data, and/or the recent developments in the areas. A new chapter on the portfolio balance approach to exchange rate determination is included, in addition to the major models - cluded in the first edition: the Mundell-Fleming model, the flexible price monetary model, the sticky price monetary model featured by the Dornbusch model and the real interest rate differential model. This makes the book inclusive in exchange rate theories. A second new chapter included is on issues in balance of payments or international transactions and their interactions with exchange rates, changes in exchange rates and exchange rate policies.

Turkish Economic Association International Conference On Economics Ice Tea 2018

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Author : Ercan Uygur
language : en
Publisher: Türkiye Ekonomi Kurumu
Release Date : 2018-12-31

Turkish Economic Association International Conference On Economics Ice Tea 2018 written by Ercan Uygur and has been published by Türkiye Ekonomi Kurumu this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-31 with Business & Economics categories.

Recent Developments In Cointegration

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Author : Katarina Juselius
language : en
Publisher: MDPI
Release Date : 2018-07-05

Recent Developments In Cointegration written by Katarina Juselius and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-05 with Business & Economics categories.

This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics