Unit Roots Cointegration And Structural Change

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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.

Analysis Of Integrated And Cointegrated Time Series With R

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Author : Bernhard Pfaff
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-03

Analysis Of Integrated And Cointegrated Time Series With R written by Bernhard Pfaff 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 2008-09-03 with Business & Economics categories.

This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration

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Author : Michael Binder
language : en
Publisher:
Release Date : 2000

Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration written by Michael Binder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Autoregression (Statistics) categories.

Unit Roots And Structural Breaks

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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.

Cointegration For The Applied Economist

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Author : B Bhaskara Rao (Ed.)
language : en
Publisher: Allied Publishers
Release Date : 1997

Cointegration For The Applied Economist written by B Bhaskara Rao (Ed.) and has been published by Allied Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.

Nonstationary Panels Panel Cointegration And Dynamic Panels

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Author : Badi H. Baltagi
language : en
Publisher: Elsevier
Release Date : 2000

Nonstationary Panels Panel Cointegration And Dynamic Panels written by Badi H. Baltagi and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.

In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.

Economic Structural Change

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Author : Peter Hackl
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29

Economic Structural Change written by Peter Hackl 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 2013-06-29 with Business & Economics categories.

Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".

Macroeconomic Forecasting In The Era Of Big Data

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Author : Peter Fuleky
language : en
Publisher: Springer Nature
Release Date : 2019-11-28

Macroeconomic Forecasting In The Era Of Big Data written by Peter Fuleky and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-11-28 with Business & Economics categories.

This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.

Modeling Financial Time Series With S Plus

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Author : Eric Zivot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11

Modeling Financial Time Series With S Plus written by Eric Zivot 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 2013-11-11 with Business & Economics categories.

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Almost All About Unit Roots

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Author : In Choi
language : en
Publisher: Cambridge University Press
Release Date : 2015-05-07

Almost All About Unit Roots written by In Choi 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 2015-05-07 with Business & Economics categories.

Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing.. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.