Download or read book Comparison of Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior to the tests, the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then, the series are adjusted for these terms and unit root tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analysed and modifications are proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts.
Download or read book Comparison of Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 1999 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 2001 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Unit Roots in Autoregressions with Multiple Level Shifts written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The asymptotic distributions of Augmented-Dickey-Fuller (ADF) unit root tests for autoregressive processes with a unit or near-unit root are discussed in the presence of multiple stochastic level shifts of large size occurring independently in time. The distributions depend on a Brownian motion and a Poisson-type jump process. Due to the latter, tests based on standard critical values experience power losses increasing rapidly with the number and the magnitude of the shifts. A new approach to unit root testing is suggested which requires no knowledge of either the location or the number of level shifts, and which dispenses with the assumption of independent shift occurrence. It is proposed to remove possible shifts from a time series by weighting its increments according to how likely it is, with respect to an ad hoc postulated distribution, a shift to have occurred in each period. If the number of level shifts is bounded in probability, the limiting distributions of the proposed test statistics coincide with those of ADF statistics under standard conditions. A Monte Carlo experiment shows that, despite their generality, the new tests perform well in finite samples.
Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Download or read book Introduction to Statistical Time Series written by Wayne A. Fuller and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Download or read book Almost All About Unit Roots written by In Choi and published by Cambridge University Press. This book was released on 2015-05-12 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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 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 Forecasting principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Download or read book Time Series Econometrics written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Part I. Unit roots and trend breaks -- Part II. Structural change
Download or read book Nonlinear Statistical Modeling written by Takeshi Amemiya and published by Cambridge University Press. This book was released on 2001-01-08 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection investigates parametric, semiparametric, nonparametric, and nonlinear estimation techniques in statistical modeling.
Download or read book Uncertainty Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
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 2014-04-24 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.
Download or read book Unit Root Tests and Structural Breaks written by Paramsothy Silvapulle and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Developments in Time Series Econometrics written by Jean-Marie Dufour and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Download or read book China in the World Economy written by Zhongmin Wu and published by Routledge. This book was released on 2009-03-30 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: China's economy continues to grow at a great rate, with important consequences for China's society and environment, as well as for the wider world economy. Reforms are being undertaken in many areas within China, both to encourage continued economic growth and also to mitigate the adverse effects of growth on society and the environment. This book, based on extensive original research by a wide range of leading experts, examines many key issues connected to China's economic growth and its impact. Subjects covered amongst many others include: growth and inequality; labour market reforms; technological innovations and their impact; employment, unemployment and training; and the search for economic development that is ecologically sustainable.
