Periodic Integration & Cointegration
Author : Robin Harrison
Publisher :
Page : 36 pages
File Size : 27,3 MB
Release : 1994
Category : Consumption (Economics)
ISBN :
Author : Robin Harrison
Publisher :
Page : 36 pages
File Size : 27,3 MB
Release : 1994
Category : Consumption (Economics)
ISBN :
Author : Hassan Shirwani
Publisher :
Page : 0 pages
File Size : 49,10 MB
Release : 2012
Category :
ISBN :
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard nonseasonal unit roots, we find evidence of periodic seasonal integration in these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the efficient market hypothesis.
Author : G. S. Maddala
Publisher : Cambridge University Press
Page : 528 pages
File Size : 27,83 MB
Release : 1998
Category : Business & Economics
ISBN : 9780521587822
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : Philip Hans Franses
Publisher : OUP Oxford
Page : 166 pages
File Size : 46,75 MB
Release : 2004-03-25
Category : Business & Economics
ISBN : 0191529265
This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results. The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided. The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments. All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.
Author : Philip Hans Franses
Publisher : Oxford University Press, USA
Page : 256 pages
File Size : 33,23 MB
Release : 1996
Category : Business & Economics
ISBN :
This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic behaviour. The analysis considers econometric theory, Monte Carlo simulation, and forecasting, and it is illustrated with numerous empirical time series. A key feature of the proposed models is that changing seasonal fluctuations depend on the trend and business cycle fluctuations. In the case of such dependence, it is shown that seasonal adjustment leads to inappropriate results.
Author : Philip Hans Franses
Publisher :
Page : 22 pages
File Size : 21,27 MB
Release : 1993
Category :
ISBN :
Author : Philip Hans Franses
Publisher :
Page : 147 pages
File Size : 50,11 MB
Release : 2004
Category : Econometric models
ISBN : 9780191601286
In this insightful, modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.
Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
Page : 193 pages
File Size : 35,33 MB
Release : 2008-09-03
Category : Business & Economics
ISBN : 0387759670
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author : Peter Reinhard Hansen
Publisher : Oxford University Press, USA
Page : 178 pages
File Size : 14,10 MB
Release : 1998
Category : Business & Economics
ISBN : 9780198776086
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author : Eric Ghysels
Publisher : Cambridge University Press
Page : 258 pages
File Size : 48,75 MB
Release : 2001-06-18
Category : Business & Economics
ISBN : 9780521565882
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.