Download or read book On Optimal Instrumental Variables Estimation of Stationary Time Series Models written by Kenneth D. West and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many time series models, an infinite number of moments can be used for estimation in a large sample. I supply a technically undemanding proof of a condition for optimal instrumental variables use of such moments in a parametric model. I also illustrate application of the condition in estimation of a linear model with a conditionally heteroskedastic disturbance.
Download or read book Optimal Instrumental Variables Estimation in Stationary Time Series Models written by Stanislav Anatolyev and published by . This book was released on 2000 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Instruments in Time Series written by Stanislav Anatolyev and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article surveys estimation in stationary time series models using the approach of optimal instrumentation. We review tools that allow construction and implementation of optimal instrumental variables estimators in various circumstances - in single- and multi-period models, in the absence and presence of conditional heteroskedasticity, by considering linear and nonlinear instruments. We also discuss issues adjacent to the theme of optimal instruments. The article is directed primarily towards practitioners, but also may be found useful by econometric theorists and teachers of graduate econometrics.
Download or read book On Optimal Instrumental Variables Estimation of Time Series Models written by Kenneth David West and published by . This book was released on 1997 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Instrumental Variables Estimation for Arma Models written by Guido M. Kuersteiner and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper a new class of Instrumental Variables estimator for linear processes and in particular ARMA models is developed. Previously, IV estimators based on lagged observations as instruments have been used to account for unmodelled MA(q) errors in the estimation of the AR parameters. Here it is shown that those IV methods can be used to improve efficiency of linear time series estimators in the presence of unmodelled conditional heteroskedasticity. Moreover an IV estimator for both the AR and MA parts is developed. One consequence of these results is that Gaussian estimators for linear time series models are inefficient members of this IV class. A leading example of an inefficient member is the OLS estimator for AR(p) models which is known to be efficient under homoskedasticity.
Download or read book Recursive Estimation and Time series Analysis written by Peter C. Young and published by Springer. This book was released on 1984 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: New York : Spring-Verlag, 1984.
Download or read book Time Series in the Time Domain written by Edward James Hannan and published by North Holland. This book was released on 1985 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. In this volume prominent workers in the field discuss various time series methods in the time domain. The topics included are autoregressive-moving average models, control, estimation, identification, model selection, non-linear time series, non-stationary time series, prediction, robustness, sampling designs, signal attenuation, and speech recognition. This volume complements Handbook of Statistics 3: Time Series in the Frequency Domain.
Download or read book Time Series Models written by Manfred Deistler and published by Springer Nature. This book was released on 2022-10-21 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a self-contained presentation of the theory and models of time series analysis. Putting an emphasis on weakly stationary processes and linear dynamic models, it describes the basic concepts, ideas, methods and results in a mathematically well-founded form and includes numerous examples and exercises. The first part presents the theory of weakly stationary processes in time and frequency domain, including prediction and filtering. The second part deals with multivariate AR, ARMA and state space models, which are the most important model classes for stationary processes, and addresses the structure of AR, ARMA and state space systems, Yule-Walker equations, factorization of rational spectral densities and Kalman filtering. Finally, there is a discussion of Granger causality, linear dynamic factor models and (G)ARCH models. The book provides a solid basis for advanced mathematics students and researchers in fields such as data-driven modeling, forecasting and filtering, which are important in statistics, control engineering, financial mathematics, econometrics and signal processing, among other subjects.
Download or read book Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.
Download or read book State Space Modeling of Time Series written by Masanao Aoki and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, the author adopts a state space approach to time series modeling to provide a new, computer-oriented method for building models for vector-valued time series. This second edition has been completely reorganized and rewritten. Background material leading up to the two types of estimators of the state space models is collected and presented coherently in four consecutive chapters. New, fuller descriptions are given of state space models for autoregressive models commonly used in the econometric and statistical literature. Backward innovation models are newly introduced in this edition in addition to the forward innovation models, and both are used to construct instrumental variable estimators for the model matrices. Further new items in this edition include statistical properties of the two types of estimators, more details on multiplier analysis and identification of structural models using estimated models, incorporation of exogenous signals and choice of model size. A whole new chapter is devoted to modeling of integrated, nearly integrated and co-integrated time series.
Download or read book A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model written by Kenneth David West and published by . This book was released on 1995 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Download or read book Optimal Instrumental Variables Estimation for ARMA Models written by Guido Kuersteiner and published by . This book was released on 1999 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Series Models written by Andrew C. Harvey and published by . This book was released on 1981 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stationary stochastic process and their properties in the time domain; The frequency domain; State space models and the kalman filter; Estimation of autoregressive moving average models; Model building and prediction; Selected topics in time series regression.
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Download or read book Nonlinear Econometric Modeling in Time Series written by William A. Barnett and published by Cambridge University Press. This book was released on 2000-05-22 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests.
