Unit Root Tests In Time Series Volume 2
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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.
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.
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.
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.
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.
Reconstructing Keynesian Macroeconomics Volume 2
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Author : Carl Chiarella
language : en
Publisher: Routledge
Release Date : 2013-01-17
Reconstructing Keynesian Macroeconomics Volume 2 written by Carl Chiarella and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-17 with Business & Economics categories.
This book represents the second of three volumes offering a complete reinterpretation and restructuring of Keynesian macroeconomics and a detailed investigation of the disequilibrium adjustment processes characterizing the financial, the goods and the labour markets and their interaction. In this second volume the authors present a detailed analysis and comparison of two competing types of approaches to Keynesian macroeconomics, one that integrates goods, labour and financial markets, and another from the perspective of a conventional type of LM-analysis or interest-rate policy of the central bank. The authors employ rigorous dynamic macro-models of a descriptive and applicable nature, which will be of interest to all macroeconomists who use formal model-building in their investigations. The research in this book with its focus on Keynesian propagation mechanisms provides a unique alternative to the black-box shock-absorber approaches that dominate modern macroeconomics. The main conclusion of the work is that policy makers need to reconsider Keynesian ideas, but in the modern form in which they are expressed in this volume. Reconstructing Keynesian Macroeconomics will be of interest to students and researchers who want to look at alternatives to the mainstream macrodynamics that emerged from the Monetarist critique of Keynesianism. This book will also engage central bankers and macroeconomic policy makers.
Wiley Study Guide For 2015 Level Ii Cfa Exam Complete Set
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Author : Wiley
language : en
Publisher: John Wiley & Sons
Release Date : 2015-01-21
Wiley Study Guide For 2015 Level Ii Cfa Exam Complete Set written by Wiley 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 2015-01-21 with Business & Economics categories.
The Wiley Study Guides for the Level 1 CFA exam are proven to help candidates understand, retain, and master the CFA Program Curriculum, complete with color-coded Study Guides and coverage of every Learning Outcome Statement on the exam. With over 1,000 pages of distilled knowledge from our staff of CFA charterholders and instructors, these books are a highly effective and proven study aid filled with exam tips, fundamental concepts, and in-depth examples. Our authors have used their years of personal teaching experience with students from a variety of backgrounds to develop study guides that improve the study experience of CFA Level I candidates and include practical and helpful tips and test-taking advice though-out the text. The color-coding feature, which makes it easier for you to follow cases and examples that make references to graphs and sets of financial statements. Most subjects, especially Economics, Portfolio Management and Fixed Income use plenty of figures and diagrams to illustrate important concepts. Our study guides include all those figures and additional commentary to make the material easily understandable.
Analysing Economic Data
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Author : T. Mills
language : en
Publisher: Springer
Release Date : 2013-12-10
Analysing Economic Data written by T. Mills and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-10 with Business & Economics categories.
Covers the key issues required for students wishing to understand and analyse the core empirical issues in economics. It focuses on descriptive statistics, probability concepts and basic econometric techniques and has an accompanying website that contains all the data used in the examples and provides exercises for undertaking original research.
Output And Employment Fluctuations
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Author : Klaus F. Zimmermann
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Output And Employment Fluctuations written by Klaus F. Zimmermann 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 book consists of four parts: I. Labour demand and supply, II. Productivity slowdown and innovative activity, III. Disequilibrium and business cycle analysis, and IV. Time series analysis of output and employment. It presents a fine selection of articles in the growing field ofthe empirical analysis of output and employment fluctuations with applications in a micro-econometric or a time-series framework. The time-series literature recently has emphasized the careful testing for stationarity and nonlinearity in the data, and the importance of cointegration theory. An essential part of the papers make use of parametric and non-parametric methods developed in this literature and mostly connect their results to the hysteresis discussion about the existence of fragile equilibria. A second set of macro approaches use the disequilibrium framework that has found so much interest in Europe in recent years. The other papers use newly developed methods for microdata,especially qualitative data or limited dependent variables to study microeconomic models of behaviour that explain labour market and output decisions.