Workbook On Cointegration
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Workbook On Cointegration
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Author : Peter Reinhard Hansen
language : en
Publisher: Oxford University Press, USA
Release Date : 1998
Workbook On Cointegration written by Peter Reinhard Hansen and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The main text has been used for courses on Cointegration, and many of the exercises have been posed as either training exercises or exam questions. Many of them are challenging and summarize results published in the literature. Each chapter starts with a brief summary of the content of the corresponding chapter in the main text, which introduces the notation and the most important results.
Workbook On Cointegration
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Author : Peter Hansen
language : en
Publisher:
Release Date : 1998
Workbook On Cointegration written by Peter Hansen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Cointegration Causality And Forecasting
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Author : Halbert White
language : en
Publisher: Oxford University Press, USA
Release Date : 1999
Cointegration Causality And Forecasting written by Halbert White and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
The Cointegrated Var Model
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Author : Katarina Juselius
language : en
Publisher: OUP Oxford
Release Date : 2006-12-07
The Cointegrated Var Model written by Katarina Juselius and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-12-07 with Business & Economics categories.
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
A Course In Time Series Analysis
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Author : Daniel Peña
language : en
Publisher: John Wiley & Sons
Release Date : 2011-01-25
A Course In Time Series Analysis written by Daniel Peña 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 2011-01-25 with Mathematics categories.
New statistical methods and future directions of research in time series A Course in Time Series Analysis demonstrates how to build time series models for univariate and multivariate time series data. It brings together material previously available only in the professional literature and presents a unified view of the most advanced procedures available for time series model building. The authors begin with basic concepts in univariate time series, providing an up-to-date presentation of ARIMA models, including the Kalman filter, outlier analysis, automatic methods for building ARIMA models, and signal extraction. They then move on to advanced topics, focusing on heteroscedastic models, nonlinear time series models, Bayesian time series analysis, nonparametric time series analysis, and neural networks. Multivariate time series coverage includes presentations on vector ARMA models, cointegration, and multivariate linear systems. Special features include: Contributions from eleven of the worldâ??s leading figures in time series Shared balance between theory and application Exercise series sets Many real data examples Consistent style and clear, common notation in all contributions 60 helpful graphs and tables Requiring no previous knowledge of the subject, A Course in Time Series Analysis is an important reference and a highly useful resource for researchers and practitioners in statistics, economics, business, engineering, and environmental analysis. An Instructor's Manual presenting detailed solutions to all the problems in he book is available upon request from the Wiley editorial department.
Multivariate Modelling Of Non Stationary Economic Time Series
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Author : John Hunter
language : en
Publisher: Springer
Release Date : 2017-05-08
Multivariate Modelling Of Non Stationary Economic Time Series written by John Hunter and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-08 with Business & Economics categories.
This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Workbook For Macroeconomic Theory
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Author : Fernando de Holanda Barbosa
language : en
Publisher: Springer Nature
Release Date : 2025-05-09
Workbook For Macroeconomic Theory written by Fernando de Holanda Barbosa and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-05-09 with Business & Economics categories.
This book presents the answers to the exercises in Macroeconomic Theory, Fluctuations, Inflation and Growth in Closed and Open Economies, 2nd Edition, by Fernando de Holanda Barbosa (Cham, Switzerland: Springer, 2024), hereafter referred as Macro Theory. Altogether, there are 170 exercises in eleven chapters and three appendices. Many of these exercises are based on, or inspired in, the literature listed in the bibliography of Macro Theory, although the sources are not documented. The goal of a good number of exercises is to help the student to develop the skills necessary to obtain the model’s empirically testable predictions. You should try to solve each exercise by yourself but do not be upset if you cannot. Some exercises are very hard and take time to work out. However, to learn, you should persevere and try again and again. We hope that this workbook will help you in the learning process of macroeconomic theory. The most important change in this second edition is Part IV, which presents an abridged survey of the empirical evidence on macroeconomic models. This part has four chapters. Chapter 12 takes care of growth. Chapter 13 analyzes the main characteristics of business cycles. Chapter 14 presents the empirical evidence on Keynesian models, and Chapter 15 deals with several issues related to the budget constraint, such as chronic inflation, the pathologies of hyperinflation, public debt crises, external debt crises and the fiscal theory of the price level.
Time Series Econometrics
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Author : John D. Levendis
language : en
Publisher: Springer
Release Date : 2019-01-31
Time Series Econometrics written by John D. Levendis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-31 with Business & Economics categories.
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Topics In Dynamic Model Analysis
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Author : Mario Faliva
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-20
Topics In Dynamic Model Analysis written by Mario Faliva 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 2006-01-20 with Business & Economics categories.
Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregr- sive (VAR) models as offsprings - scour, like the Janus's facing heads, the flowing of economic variables so as to bring to the fore their autonomous and non-autonomous dynamics. It is up to the so-called final form of a dy namic SEM, on the one hand, and to the so-called representation theorems of (unit-root) VAR models, on the other, to provide informative closed form expressions for the trajectories, or time paths, of the economic vari ables of interest. Should we look at the issues just put forward from a mathematical standpoint, the emblematic models of both classical and time series econometrics would turn out to be difference equation systems with ad hoc characteristics, whose solutions are attained via a final form or a represen tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma trix function inversion admitting a Taylor expansion in the lag operator be cause of the assumptions regarding the roots of a determinant equation pe culiar to SEM specifications.
Volatility And Time Series Econometrics
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Author : Tim Bollerslev
language : en
Publisher: OUP Oxford
Release Date : 2010-02-11
Volatility And Time Series Econometrics written by Tim Bollerslev and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-11 with Business & Economics categories.
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.