Book Description
This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics
Author : Katarina Juselius
Publisher : MDPI
Page : 219 pages
File Size : 17,40 MB
Release : 2018-07-05
Category : Business & Economics
ISBN : 3038429554
This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics
Author : Katarina Juselius
Publisher : OUP Oxford
Page : 478 pages
File Size : 43,89 MB
Release : 2006-12-07
Category : Business & Economics
ISBN : 0191622966
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.
Author : Katarina Juselius
Publisher :
Page : pages
File Size : 38,27 MB
Release : 2018
Category :
ISBN : 9783038429562
Recent Developments in Cointegration.
Author : Gilles Dufrénot
Publisher : Springer Science & Business Media
Page : 319 pages
File Size : 36,53 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 1475736150
This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Author : G. S. Maddala
Publisher : Cambridge University Press
Page : 528 pages
File Size : 40,4 MB
Release : 1998
Category : Business & Economics
ISBN : 9780521587822
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : Clive William John Granger
Publisher :
Page : 301 pages
File Size : 32,96 MB
Release : 1991
Category : Analisis de series de tiempo
ISBN :
Author : Bhaskara B. Rao
Publisher : Springer
Page : 247 pages
File Size : 31,58 MB
Release : 2016-07-27
Category : Business & Economics
ISBN : 1349235296
`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.
Author : Peter Reinhard Hansen
Publisher : Oxford University Press, USA
Page : 178 pages
File Size : 40,20 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 : Badi H. Baltagi
Publisher : Elsevier
Page : 351 pages
File Size : 30,79 MB
Release : 2000
Category : Business & Economics
ISBN : 0762306882
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.
Author : Søren Johansen
Publisher : Oxford University Press, USA
Page : 280 pages
File Size : 38,90 MB
Release : 1995
Category : Business & Economics
ISBN : 0198774508
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.