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Author: Joakim Westerlund
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
When testing for a unit root in a time series, in spite of the well-known power problem of univariate tests, it is quite common to use only the information regarding the autoregressive behaviour contained in that series. In a series of influential papers, Elliott et al. (Efficient tests for an autoregressive unit root, Econometrica 64, 813-836, 1996), Hansen (Rethinking the univariate approach to unit root testing: using covariates to increase power, Econometric Theory 11, 1148-1171, 1995a) and Seo (Distribution theory for unit root tests with conditional heteroskedasticity, Journal of Econometrics 91, 113-144, 1999) showed that this practice can be rather costly and that the inclusion of the extraneous information contained in the near-integratedness of many economic variables, their heteroskedasticity and their correlation with other covariates can lead to substantial power gains. In this article, we show how these information sets can be combined into a single unit root test.
Author: Joakim Westerlund
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
When testing for a unit root in a time series, in spite of the well-known power problem of univariate tests, it is quite common to use only the information regarding the autoregressive behaviour contained in that series. In a series of influential papers, Elliott et al. (Efficient tests for an autoregressive unit root, Econometrica 64, 813-836, 1996), Hansen (Rethinking the univariate approach to unit root testing: using covariates to increase power, Econometric Theory 11, 1148-1171, 1995a) and Seo (Distribution theory for unit root tests with conditional heteroskedasticity, Journal of Econometrics 91, 113-144, 1999) showed that this practice can be rather costly and that the inclusion of the extraneous information contained in the near-integratedness of many economic variables, their heteroskedasticity and their correlation with other covariates can lead to substantial power gains. In this article, we show how these information sets can be combined into a single unit root test.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Eric Zivot
Publisher: Springer Science & Business Media
ISBN: 0387217630
Category : Business & Economics
Languages : en
Pages : 632
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Book Description
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
Author: Pierre Perron
Publisher:
ISBN: 9783038428121
Category :
Languages : en
Pages :
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Book Description
Unit Roots and Structural Breaks.
Author: D. Pollard
Publisher: David Pollard
ISBN: 0387909907
Category : Mathematics
Languages : en
Pages : 223
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Book Description
Functionals on stochastic processes; Uniform convergence of empirical measures; Convergence in distribution in euclidean spaces; Convergence in distribution in metric spaces; The uniform metric on space of cadlag functions; The skorohod metric on D [0, oo); Central limit teorems; Martingales.
Author: Christian Kleiber
Publisher: Springer Science & Business Media
ISBN: 0387773185
Category : Business & Economics
Languages : en
Pages : 229
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Book Description
R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Author: R. Carter Hill
Publisher:
ISBN: 9781119320951
Category : BUSINESS & ECONOMICS
Languages : en
Pages :
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Book Description
Revised edition of the authors' Principles of econometrics, c2011.
Author: Peter Fuleky
Publisher: Springer Nature
ISBN: 3030311503
Category : Business & Economics
Languages : en
Pages : 716
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Book Description
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Author: Thanasis Stengos
Publisher: MDPI
ISBN: 3038979643
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
The present Special Issue collects a number of new contributions both at the theoretical level and in terms of applications in the areas of nonparametric and semiparametric econometric methods. In particular, this collection of papers that cover areas such as developments in local smoothing techniques, splines, series estimators, and wavelets will add to the existing rich literature on these subjects and enhance our ability to use data to test economic hypotheses in a variety of fields, such as financial economics, microeconomics, macroeconomics, labor economics, and economic growth, to name a few.
Author: Lutz Kilian
Publisher: Cambridge University Press
ISBN: 1107196574
Category : Business & Economics
Languages : en
Pages : 757
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Book Description
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
