Author : K. Patterson
Publisher : Springer
Page : 586 pages
File Size : 17,19 MB
Release : 2012-07-05
Category : Business & Economics
ISBN : 1137003316
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Author : In Choi
Publisher : Cambridge University Press
Page : 301 pages
File Size : 20,7 MB
Release : 2015-05-12
Category : Business & Economics
ISBN : 1107097339
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Author : Rob J Hyndman
Publisher : OTexts
Page : 380 pages
File Size : 31,62 MB
Release : 2018-05-08
Category : Business & Economics
ISBN : 0987507117
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Author : Takeshi Amemiya
Publisher : Cambridge University Press
Page : 472 pages
File Size : 14,73 MB
Release : 2001-01-08
Category : Business & Economics
ISBN : 9780521662468
This collection investigates parametric, semiparametric, nonparametric, and nonlinear estimation techniques in statistical modeling.
Author :
Publisher : Cambridge University Press
Page : 313 pages
File Size : 46,59 MB
Release :
Category :
ISBN : 0521817706
Author : John D. Levendis
Publisher : Springer
Page : 409 pages
File Size : 14,29 MB
Release : 2019-01-31
Category : Business & Economics
ISBN : 3319982826
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.
Author : Philip Hans Franses
Publisher : Cambridge University Press
Page : 421 pages
File Size : 10,62 MB
Release : 2014-04-24
Category : Business & Economics
ISBN : 1139952129
With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.
Author : Ingo Klein
Publisher : Springer Science & Business Media
Page : 285 pages
File Size : 48,21 MB
Release : 2013-06-29
Category : Business & Economics
ISBN : 1475736029
The field of econometrics has gone through remarkable changes during the last thirty-five years. Widening its earlier focus on testing macroeconomic theories, it has become a rather comprehensive discipline concemed with the development of statistical methods and their application to the whole spectrum of economic data. This development becomes apparent when looking at the biography of an econometrician whose illustrious research and teaching career started about thirty-five years ago and who will retire very soon after his 65th birthday. This is Gerd Hansen, professor of econometrics at the Christian Albrechts University at Kiel and to whom this volume with contributions from colleagues and students has been dedicated. He has shaped the econometric landscape in and beyond Germany throughout these thirty-five years. At the end of the 1960s he developed one of the first econometric models for the German econ omy which adhered c10sely to the traditions put forth by the Cowles commission.
Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
Page : 193 pages
File Size : 28,36 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 : Jean-Marie Dufour
Publisher : Springer Science & Business Media
Page : 248 pages
File Size : 15,38 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 3642487424
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
