Unit Roots And Structural Breaks
DOWNLOAD
Download Unit Roots And Structural Breaks PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Unit Roots And Structural Breaks book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Unit Roots And Structural Breaks
DOWNLOAD
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 Electronic book categories.
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Unit Roots And Structural Breaks
DOWNLOAD
Author : Pierre Perron
language : en
Publisher:
Release Date : 2018
Unit Roots And Structural Breaks written by Pierre Perron and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Unit Roots and Structural Breaks.
Unit Roots Cointegration And Structural Change
DOWNLOAD
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.
Unit Root Tests And Structural Breaks
DOWNLOAD
Author : Paramsothy Silvapulle
language : en
Publisher:
Release Date : 1995
Unit Root Tests And Structural Breaks written by Paramsothy Silvapulle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Monte Carlo method categories.
Unit Roots And Structural Breaks
DOWNLOAD
Author : Pierre Perron (Ed.)
language : en
Publisher:
Release Date : 2018
Unit Roots And Structural Breaks written by Pierre Perron (Ed.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Economic growth, development, planning categories.
This book deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements to and analyses of the existing procedures. This book provides contributions that follow up on what has been done and/or offer new perspectives on such issues and related ones.
Seasonal Unit Root Tests Under Structural Breaks
DOWNLOAD
Author : Uwe Hassler
language : en
Publisher:
Release Date : 2001
Seasonal Unit Root Tests Under Structural Breaks written by Uwe Hassler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Unit Roots And Structural Breaks
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2006
Unit Roots And Structural Breaks written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Unit Root Tests Common Pitfalls And Best Practices
DOWNLOAD
Author : Traoré, Fousseini
language : en
Publisher: Intl Food Policy Res Inst
Release Date : 2021-12-31
Unit Root Tests Common Pitfalls And Best Practices written by Traoré, Fousseini and has been published by Intl Food Policy Res Inst this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-31 with Political Science categories.
Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.
Characterizing Growth Instability
DOWNLOAD
Author : Emanuele Russo
language : en
Publisher:
Release Date : 2019
Characterizing Growth Instability written by Emanuele Russo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
In this paper we investigate whether long run time series of income per capita are better described by a trend-stationary model with few structural changes or by unit root processes in which permanent stochastic shocks are responsible for the observed growth discontinuities. To this purpose, we develop a methodology to test the null of a generic I(1) process versus a set of stationary alternatives with structural breaks. Differently from other tests in the literature, the number of structural breaks under the alternative hypothesis is treated as an unknown (up to some ex ante determined maximum). Critical values are obtained via Monte Carlo simulations and finite sample size and power properties of the test are reported. An application is provided for a group of advanced and developing countries in the Maddison dataset, also using bootstrapped critical values. As compared to previous findings in the literature, less evidence is found against the unit root hypothesis. Failures to reject the I(1) null are particularly strong for a set of developing countries considered. Finally, even less rejections are found when relaxing the assumption of Gaussian shocks.
Cointegration
DOWNLOAD
Author : Bhaskara B. Rao
language : en
Publisher: Springer
Release Date : 2016-07-27
Cointegration written by Bhaskara B. Rao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-27 with Business & Economics categories.
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.