Author : G. S. Maddala
Publisher : Cambridge University Press
Page : 528 pages
File Size : 32,30 MB
Release : 1998
Category : Business & Economics
ISBN : 9780521587822
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : Inpyo Lee
Publisher :
Page : 153 pages
File Size : 30,33 MB
Release : 1992
Category : Macroeconomics
ISBN :
Author : Pierre Perron
Publisher : MDPI
Page : 167 pages
File Size : 21,10 MB
Release : 2018-04-13
Category : Business & Economics
ISBN : 3038428116
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author : In Choi
Publisher : Cambridge University Press
Page : 301 pages
File Size : 23,65 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 : Bhaskara B. Rao
Publisher : Springer
Page : 247 pages
File Size : 29,37 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 : Dukpa Kim
Publisher :
Page : 233 pages
File Size : 32,65 MB
Release : 2007
Category :
ISBN : 9781109976205
The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced.
Author : Badi H. Baltagi
Publisher : Elsevier
Page : 351 pages
File Size : 18,47 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 : Peter Fuleky
Publisher : Springer Nature
Page : 716 pages
File Size : 49,60 MB
Release : 2019-11-28
Category : Business & Economics
ISBN : 3030311503
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.
Author : In-Moo Kim
Publisher :
Page : 196 pages
File Size : 19,38 MB
Release : 1991
Category : Econometric models
ISBN :
Author : Eric Zivot
Publisher : Springer Science & Business Media
Page : 632 pages
File Size : 18,76 MB
Release : 2013-11-11
Category : Business & Economics
ISBN : 0387217630
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.
