Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Download or read book Time Series Analysis Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Download or read book Time Series Analysis Methods and Applications written by and published by Elsevier. This book was released on 2012-05-18 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas
Download or read book Applied Economic Forecasting Using Time Series Methods written by Eric Ghysels and published by Oxford University Press. This book was released on 2018 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
Download or read book IBSS Economics 2006 Vol 55 written by British Library of Political and Economic Science Staff and published by Routledge. This book was released on 2007-10-31 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2007. Routledge is an imprint of Taylor & Francis, an informa company.
Download or read book AsiaSim 2014 written by Satoshi Tanaka and published by Springer. This book was released on 2014-09-26 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 14th International Conference on Systems Simulation, Asia Simulation 2014, held in Kitakyushu, Japan, in October 2014. The 32 revised full papers presented were carefully reviewed and selected from 69 submissions. The papers are organized in topical sections on modeling and simulation technology; network simulation; high performance computing and cloud simulation; numerical simulation and visualization; simulation of instrumentation and control application; simulation technology in diversified higher education; general purpose simulation.
Download or read book State space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Download or read book Markov Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Download or read book MIDAS Versus Mixed frequency VAR written by Vladimir Kuzin and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Child Psychology and Developmental Science Theory and Method written by and published by John Wiley & Sons. This book was released on 2015-04-06 with total page 912 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential reference for human development theory, updated and reconceptualized The Handbook of Child Psychology and Developmental Science, a four-volume reference, is the field-defining work to which all others are compared. First published in 1946, and now in its Seventh Edition, the Handbook has long been considered the definitive guide to the field of developmental science. Volume 1, Theory and Method, presents a rich mix of classic and contemporary theoretical perspectives, but the dominant views throughout are marked by an emphasis on the dynamic interplay of all facets of the developmental system across the life span, incorporating the range of biological, cognitive, emotional, social, cultural, and ecological levels of analysis. Examples of the theoretical approaches discussed in the volume include those pertinent to human evolution, self regulation, the development of dynamic skills, and positive youth development. The research, methodological, and applied implications of the theoretical models discussed in the volume are presented. Understand the contributions of biology, person, and context to development within the embodied ecological system Discover the relations among individual, the social world, culture, and history that constitute human development Examine the methods of dynamic, developmental research Learn person-oriented methodological approaches to assessing developmental change The scholarship within this volume and, as well, across the four volumes of this edition, illustrate that developmental science is in the midst of a very exciting period. There is a paradigm shift that involves increasingly greater understanding of how to describe, explain, and optimize the course of human life for diverse individuals living within diverse contexts. This Handbook is the definitive reference for educators, policy-makers, researchers, students, and practitioners in human development, psychology, sociology, anthropology, and neuroscience.
Download or read book Finite Mixture and Markov Switching Models written by Sylvia Frühwirth-Schnatter and published by Springer Science & Business Media. This book was released on 2006-11-24 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.
Download or read book Hidden Markov Models for Time Series written by Walter Zucchini and published by CRC Press. This book was released on 2017-12-19 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data
Download or read book Regime Switching Models written by Simon van Norden and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are included. FRENCH VERSION La presente etude constitue un guide d'utilisation d'un ensemble de procedures de Gauss mises au point a la Banque du Canada en vue de l'estimation des modeles a changement de regime. Ces procedures permettent d'estimer de facon assez rapide une vaste gamme de modeles a changement de regime et devraient s'averer utiles pour la recherche appliquee. Des echantillons de programmes sont inclus dans l'etude.
Download or read book Advances in Markov Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Download or read book Random Coefficient Autoregressive Models An Introduction written by D.F. Nicholls and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph we have considered a class of autoregressive models whose coefficients are random. The models have special appeal among the non-linear models so far considered in the statistical literature, in that their analysis is quite tractable. It has been possible to find conditions for stationarity and stability, to derive estimates of the unknown parameters, to establish asymptotic properties of these estimates and to obtain tests of certain hypotheses of interest. We are grateful to many colleagues in both Departments of Statistics at the Australian National University and in the Department of Mathematics at the University of Wo110ngong. Their constructive criticism has aided in the presentation of this monograph. We would also like to thank Dr M. A. Ward of the Department of Mathematics, Australian National University whose program produced, after minor modifications, the "three dimensional" graphs of the log-likelihood functions which appear on pages 83-86. Finally we would like to thank J. Radley, H. Patrikka and D. Hewson for their contributions towards the typing of a difficult manuscript. IV CONTENTS CHAPTER 1 INTRODUCTION 1. 1 Introduction 1 Appendix 1. 1 11 Appendix 1. 2 14 CHAPTER 2 STATIONARITY AND STABILITY 15 2. 1 Introduction 15 2. 2 Singly-Infinite Stationarity 16 2. 3 Doubly-Infinite Stationarity 19 2. 4 The Case of a Unit Eigenvalue 31 2. 5 Stability of RCA Models 33 2. 6 Strict Stationarity 37 Appendix 2. 1 38 CHAPTER 3 LEAST SQUARES ESTIMATION OF SCALAR MODELS 40 3.
Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press. This book was released on 2011-09-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 902 pages. Available in PDF, EPUB and Kindle. Book excerpt:
