Download or read book A Diagnostic Test for Structural Change in Cointegrated Regression Models written by Hao Kang and published by . This book was released on 1994 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Structural Change in Cointegrated Regression Models written by B. A. Inder and published by . This book was released on 1993 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Structural Change in Cointegrated Regression Models written by Kang Hao and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Structural Change in Cointegrated Regression Models written by Hao Kang and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Multiple Structural Changes in Cointegrated Regression Models written by Mohitosh Kejriwal and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Unit Roots Cointegration and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

Download or read book Efficient Estimation and Inference in Cointegrating Regressions with Structural Change written by Eiji Kurozumi and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates an efficient estimation method for a cointegrating regression model with structural change. Our proposal is that we first estimate the break point by minimizing the sum of squared residuals and then, by replacing the break fraction with the estimated one, we estimate the regression model by the canonical cointegrating regression (CCR) method proposed by Park [Econometrica (1992) Vol. 60, pp. 119-143]. We show that the estimator of the break fraction has the same convergence rate as obtained in Bai, Lumsdaine and Stock [Review of Economic Studies (1998) Vol. 65, pp. 395-432] and that the CCR estimator with the estimated break fraction has the same asymptotic property as the estimator with the known break point. However, we also show that our method breaks down when the magnitude of structural change is very small. Simulation experiments reveal how the finite sample distribution approaches the limiting distribution as the magnitude of the break and or the sample size increases.

Download or read book Testing for Structural Change in Linear Regression Models written by Kang Hao and published by . This book was released on 1994 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Random Walk Coefficients in Regression and State Space Models written by Martin Moryson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided in the question which test to choose in a particular situation. Moreover, different new tests are proposed which are suitable in situations with autocorrelated or heteroskedastic errors. Additionally, methods are developed to test for the constancy of regression coefficients in situations where one knows already that some coefficients follow a random walk, thereby one is enabled to find out which of the coefficients varies over time.

Download or read book Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model written by Fukang Zhu and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Transformations for an Exact Goodness to fit Test of Structural Change in the Linear Regression Model written by Maxwell L. King and published by . This book was released on 1989 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Independence of tests for structural change in regression models written by G. D. A. Phillips and published by . This book was released on 1982 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Structural Change in Regression Models written by Brendan MacCabe and published by . This book was released on 1989 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Strucchange an R package for testing for structural change in linear regression models written by Achim Zeileis and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Download or read book Nonlinear Modeling of Economic and Financial Time Series written by Fredj Jawadi and published by Emerald Group Publishing. This book was released on 2010-12-17 with total page 211 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents researches in linear and nonlinear modelling of economic and financial time-series. This book provides a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It also presents and discusses research findings and their implications.

Download or read book An Introduction to Bartlett Correction and Bias Reduction written by Gauss M. Cordeiro and published by Springer Science & Business Media. This book was released on 2014-05-08 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise introduction to Bartlett and Bartlett-type corrections of statistical tests and bias correction of point estimators. The underlying idea behind both groups of corrections is to obtain higher accuracy in small samples. While the main focus is on corrections that can be analytically derived, the authors also present alternative strategies for improving estimators and tests based on bootstrap, a data resampling technique and discuss concrete applications to several important statistical models.