Unit Root Tests In Time Series Volume 1

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Unit Root Tests In Time Series Volume 1

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Author : K. Patterson
language : en
Publisher: Springer
Release Date : 2011-02-25

Unit Root Tests In Time Series Volume 1 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 2011-02-25 with Business & Economics categories.

Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.

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.

Time Series Econometrics

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Author : Terence C. Mills
language : en
Publisher: Springer
Release Date : 2015-08-03

Time Series Econometrics written by Terence C. Mills and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-03 with Business & Economics categories.

This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.

A Primer For Unit Root Testing

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Author : K. Patterson
language : en
Publisher: Springer
Release Date : 2010-03-31

A Primer For Unit Root Testing 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 2010-03-31 with Business & Economics categories.

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

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.

Applied Time Series Analysis

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Author : Terence C. Mills
language : en
Publisher: Academic Press
Release Date : 2019-01-22

Applied Time Series Analysis written by Terence C. Mills and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-22 with Business & Economics categories.

Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others. - Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail - Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study - Covers both univariate and multivariate techniques in one volume - Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R - Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices - Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples

Recent Advances In Econometrics And Statistics

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Author : Matteo Barigozzi
language : en
Publisher: Springer Nature
Release Date : 2024-10-28

Recent Advances In Econometrics And Statistics written by Matteo Barigozzi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-10-28 with Mathematics categories.

This volume presents a unique collection of original research contributions by leading experts in several modern fields of econometrics and statistics, including high-dimensional, nonparametric and robust statistics, time series analysis and factor models. Published in honour of Marc Hallin on the occasion of his 75th birthday, it puts emphasis on the fundamental and applied topics he has significantly contributed to. The volume starts with an annotated bibliography that mainly catalogues his contributions to distribution-free rank-based and quantile-oriented inference and to time series analysis. The main part of the book collects 29 authoritative contributions by some of Marc Hallin’s main collaborators, organized into six parts: rank- and depth-based methods, asymptotic statistics, quantile regression, econometrics, statistical modelling and related topics, and high-dimensional and non-Euclidean data.

Linear Models And Time Series Analysis

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Author : Marc S. Paolella
language : en
Publisher: John Wiley & Sons
Release Date : 2018-12-17

Linear Models And Time Series Analysis written by Marc S. Paolella 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 2018-12-17 with Mathematics categories.

A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Interrupted Time Series Analysis

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Author : David McDowall
language : en
Publisher:
Release Date : 2019

Interrupted Time Series Analysis written by David McDowall and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Business & Economics categories.

Interrupted Time Series Analysis develops a comprehensive set of models and methods for drawing causal inferences from time series. It provides example analyses of social, behavioral, and biomedical time series to illustrate a general strategy for building AutoRegressive Integrated Moving Average (ARIMA) impact models. Additionally, the book supplements the classic Box-Jenkins-Tiao model-building strategy with recent auxiliary tests for transformation, differencing, and model selection. Not only does the text discuss new developments, including the prospects for widespread adoption of Bayesian hypothesis testing and synthetic control group designs, but it makes optimal use of graphical illustrations in its examples. With forty completed example analyses that demonstrate the implications of model properties, Interrupted Time Series Analysis will be a key inter-disciplinary text in classrooms, workshops, and short-courses for researchers familiar with time series data or cross-sectional regression analysis but limited background in the structure of time series processes and experiments.

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 Business & Economics categories.

This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics