Download or read book Testing for an Unstable Root in Conditional and Structural Error Correction Models written by Herman Peter Boswijk and published by . This book was released on 1992 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Conditional and Structural Error Correction Models written by Neil R. Ericsson and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modern Econometric Analysis written by Olaf Hübler and published by Springer Science & Business Media. This book was released on 2007-04-29 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
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 Econometric Modeling and Inference written by Jean-Pierre Florens and published by Cambridge University Press. This book was released on 2007-07-02 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.
Download or read book Time Series Based Econometrics written by Michio Hatanaka and published by OUP Oxford. This book was released on 1996-01-25 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies. The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span. Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test. This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students.
Download or read book Stochastic Processes and Calculus written by Uwe Hassler and published by Springer. This book was released on 2015-12-12 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a decisive role in the modeling of financial markets and as a basis for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nonstationary processes. This introduction is elementary and rigorous at the same time. On the one hand it gives a basic and illustrative presentation of the relevant topics without using many technical derivations. On the other hand many of the procedures are presented at a technically advanced level: for a thorough understanding, they are to be proven. In order to meet both requirements jointly, the present book is equipped with a lot of challenging problems at the end of each chapter as well as with the corresponding detailed solutions. Thus the virtual text - augmented with more than 60 basic examples and 40 illustrative figures - is rather easy to read while a part of the technical arguments is transferred to the exercise problems and their solutions.
Download or read book Periodic Time Series Models written by Philip Hans Franses and published by OUP Oxford. This book was released on 2004-03-25 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing an up-to-date survey of the recent developments in periodic time series, the book presents a large number of empirical results. The first part of the book deals with model selection, diagnostic checking and forecasting of univariate periodic autoregressive models. Tests for periodic integration, are discussed, and an extensive discussion of the role of deterministic regressors in testing for periodic integration and in forecasting is provided. The second part discusses multivariate periodic autoregressive models. It provides an overview of periodic cointegration models, as these are the most relevant. This overview contains single-equation type tests and a full-system approach based on generalized method of moments. All methods are illustrated with extensive examples, and the book will be of interest to advanced graduate students and researchers in econometrics, as well as practitioners looking for an understanding of how to approach seasonal data.
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
Download or read book Time Series Models for Business and Economic Forecasting written by and published by Cambridge University Press. This book was released on with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Likelihood based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Download or read book A Guide to Econometric Methods for the Energy Growth Nexus written by Angeliki Menegaki and published by Academic Press. This book was released on 2020-11-10 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Guide to Econometric Methods for the Energy-Growth Nexus presents, explains and compares all the available econometrics methods pertinent to the energy-growth nexus. Chapters cover methods and applications, starting with older econometric methods and moving toward new ones. Each chapter presents the method and facts about its applications, providing step-by-step explanations about the ways the method meets the demands of the field. In addition, applied case studies and practical research steps are included to enhance the learning process. By touching on all relevant econometric methods for the energy-growth nexus, this book gives energy-growth researchers and students all they need to tackle the subject matter. - Presents econometric methods for short- and long-term forecasting - Provides methods and step-by-step explanations on the ways the method meets the demands of the field - Contains applied case studies and practical research steps
Download or read book Time Series Models for Business and Economic Forecasting written by Philip Hans Franses and published by Cambridge University Press. This book was released on 1998-10-15 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to time series models for business and economic forecasting.
Download or read book Journal of Econometrics written by and published by . This book was released on 1997 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Response Models written by Dominique M. Hanssens and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 507 pages. Available in PDF, EPUB and Kindle. Book excerpt: From 1976 to the beginning of the millennium—covering the quarter-century life span of this book and its predecessor—something remarkable has happened to market response research: it has become practice. Academics who teach in professional fields, like we do, dream of such things. Imagine the satisfaction of knowing that your work has been incorporated into the decision-making routine of brand managers, that category management relies on techniques you developed, that marketing management believes in something you struggled to establish in their minds. It’s not just us that we are talking about. This pride must be shared by all of the researchers who pioneered the simple concept that the determinants of sales could be found if someone just looked for them. Of course, economists had always studied demand. But the project of extending demand analysis would fall to marketing researchers, now called marketing scientists for good reason, who saw that in reality the marketing mix was more than price; it was advertising, sales force effort, distribution, promotion, and every other decision variable that potentially affected sales. The bibliography of this book supports the notion that the academic research in marketing led the way. The journey was difficult, sometimes halting, but ultimately market response research advanced and then insinuated itself into the fabric of modern management.
Download or read book Financial Market Bubbles and Crashes Second Edition written by Harold L. Vogel and published by Springer. This book was released on 2018-08-16 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Download or read book Ethics in Econometrics written by Philip Hans Franses and published by Cambridge University Press. This book was released on 2024-06-30 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometricians make choices on data, models, and estimation routines. Using various examples, this book shows the consequences of choices.
