On Cointegration Test For Var Models With Drift
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On Cointegration Test For Var Models With Drift
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Author : Minxian Yang
language : en
Publisher:
Release Date : 1995
On Cointegration Test For Var Models With Drift written by Minxian Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Autoregression (Statistics) categories.
The Cointegrated Var Model
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Author : Katarina Juselius
language : en
Publisher: OUP Oxford
Release Date : 2006-12-07
The Cointegrated Var Model written by Katarina Juselius and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-12-07 with Business & Economics categories.
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
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.
Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Author : Søren Johansen
language : en
Publisher: OUP Oxford
Release Date : 1995-12-28
Likelihood Based Inference In Cointegrated Vector Autoregressive Models written by Søren Johansen and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-12-28 with Business & Economics categories.
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
New Introduction To Multiple Time Series Analysis
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Author : Helmut Lütkepohl
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-07-26
New Introduction To Multiple Time Series Analysis written by Helmut Lütkepohl 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 2007-07-26 with Business & Economics categories.
This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Author : Søren Johansen
language : en
Publisher: Oxford University Press, USA
Release Date : 1995
Likelihood Based Inference In Cointegrated Vector Autoregressive Models written by Søren Johansen 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 1995 with Business & Economics categories.
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Multivariate Time Series Analysis
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Author : Ruey S. Tsay
language : en
Publisher: John Wiley & Sons
Release Date : 2013-11-11
Multivariate Time Series Analysis written by Ruey S. Tsay 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 2013-11-11 with Mathematics categories.
An accessible guide to the multivariate time series tools used in numerous real-world applications Multivariate Time Series Analysis: With R and Financial Applications is the much anticipated sequel coming from one of the most influential and prominent experts on the topic of time series. Through a fundamental balance of theory and methodology, the book supplies readers with a comprehensible approach to financial econometric models and their applications to real-world empirical research. Differing from the traditional approach to multivariate time series, the book focuses on reader comprehension by emphasizing structural specification, which results in simplified parsimonious VAR MA modeling. Multivariate Time Series Analysis: With R and Financial Applications utilizes the freely available R software package to explore complex data and illustrate related computation and analyses. Featuring the techniques and methodology of multivariate linear time series, stationary VAR models, VAR MA time series and models, unitroot process, factor models, and factor-augmented VAR models, the book includes: • Over 300 examples and exercises to reinforce the presented content • User-friendly R subroutines and research presented throughout to demonstrate modern applications • Numerous datasets and subroutines to provide readers with a deeper understanding of the material Multivariate Time Series Analysis is an ideal textbook for graduate-level courses on time series and quantitative finance and upper-undergraduate level statistics courses in time series. The book is also an indispensable reference for researchers and practitioners in business, finance, and econometrics.
Econometric Analysis Of Model Selection And Model Testing
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Author : M. Ishaq Bhatti
language : en
Publisher: Routledge
Release Date : 2017-03-02
Econometric Analysis Of Model Selection And Model Testing written by M. Ishaq Bhatti and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-02 with Business & Economics categories.
In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
Workbook On Cointegration
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Author : Peter Reinhard Hansen
language : en
Publisher: Oxford University Press, USA
Release Date : 1998
Workbook On Cointegration written by Peter Reinhard Hansen 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 1998 with Business & Economics categories.
This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text has been used for courses on Cointegration, and many of the exercises have been posed as either training exercises or exam questions. Many of them are challenging and summarize results published in the literature. Each chapter starts with a brief summary of the content of the corresponding chapter in the main text, which introduces the notation and the most important results.
Structural Vector Autoregressive Analysis
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Author : Lutz Kilian
language : en
Publisher: Cambridge University Press
Release Date : 2017-11-23
Structural Vector Autoregressive Analysis written by Lutz Kilian 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 2017-11-23 with Business & Economics categories.
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.