The Lm Test For Weak Exogeneity In Error Correction Models
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Exogeneity In Error Correction Models
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Author : Jean-Pierre Urbain
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Exogeneity In Error Correction Models written by Jean-Pierre Urbain 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 2012-12-06 with Business & Economics categories.
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
The Lm Test For Weak Exogeneity In Error Correction Models
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Author : Herman Peter Boswijk
language : en
Publisher:
Release Date : 1991
The Lm Test For Weak Exogeneity In Error Correction Models written by Herman Peter Boswijk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Testing Exogeneity
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Author : Neil R. Ericsson
language : en
Publisher:
Release Date : 1994
Testing Exogeneity written by Neil R. Ericsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business & Economics categories.
This book discusses the nature of exogeneity - a central concept in econometrics - and shows how to test for it through numerous substantive empirical examples. Part I considers what exogeneity is and how it can be tested. Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates across both developed and developing countries. Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. The papers forming the core of this book (from two special issues of the Journal of Policy Modeling) provide a unique and unified perspective on applied econometric modelling in general and on exogeneity tests in particular. The applications are substantive and diverse, with a broad appeal to the applied economist.Contributors: H. Ahumada, G. Bardsen, J. Campos, M. Deutsch, R. F. Engle, Neil R. Ericsson, C. W. J. Granger, B. E. Hansen, David F. Hendry, J. Hunter, S. Johansen, K. Juselius, R. Numoen, Jean-Francois Richard
Econometric Analysis Of Financial Markets
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Author : Jürgen Kaehler
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Econometric Analysis Of Financial Markets written by Jürgen Kaehler 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 2012-12-06 with Business & Economics categories.
This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
Co Integration Error Correction And The Econometric Analysis Of Non Stationary Data
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Author : Anindya Banerjee
language : en
Publisher: Oxford University Press
Release Date : 1993-05-27
Co Integration Error Correction And The Econometric Analysis Of Non Stationary Data written by Anindya Banerjee and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-05-27 with Business & Economics categories.
This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
International Trade Modelling
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Author : m Dagenais
language : en
Publisher: CRC Press
Release Date : 1992-06-01
International Trade Modelling written by m Dagenais and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-06-01 with Business & Economics categories.
In recent years, international trade has become a subject of increaed practical importance and also one of the most intellectually exciting parts of economics. In his introduction to this volume, Paul Krugman outlines why this is so, by analysing the original contribution of the New Trade Theory in interpreting and explaining the observed trade behaviour of the past twenty years. Then follow sections which discuss: formal tests of the New Trade Theory, Price Discrimination and Exchange Rate, as well as New Protectionism, measures of Comparative Advantages and Import Demand in industrialized and developing countries. Some chapters also use GCE models to evaluate Trade Protectionism, while others encompass External Trade within aggregate Disequilibrium Models.
Cointegration Exogeneity And Policy Analysis
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Author : Neil R. Ericsson
language : en
Publisher:
Release Date : 1991
Cointegration Exogeneity And Policy Analysis written by Neil R. Ericsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Econometrics categories.
Policy Modeling Volume 14 Number 1
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Author :
language : en
Publisher:
Release Date : 1992
Policy Modeling Volume 14 Number 1 written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Exchange Rate Policy In Europe
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Author : Pavlos Karadeloglou
language : en
Publisher: Springer
Release Date : 1997-09-12
Exchange Rate Policy In Europe written by Pavlos Karadeloglou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-09-12 with Business & Economics categories.
A collection of articles presented at the XLVI Applied Econometrics Association conference on exchange rates held in Heigerloch Castle, Germany), in 1995. The book consists of three parts examining the experience of the exchange rate in Europe. In the first part some aspects of exchange rate determination in Europe are examined; the second part deals with the exchange rate policy within the European Monetary System; in the third part an analysis of recent intervention practices in the European exchange rate markets is presented.
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.