A Solution to Boundary and Sign Problems of Unit Root Test PDF Download
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Author: Rinat Akter
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659306402
Category :
Languages : en
Pages : 188
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Book Description
Usual test of testing unit root tests such as Dickey-Fuller (DF), Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) tests ignore sign and boundary parameters. Ignorance of these problems may results in unusual estimate and test results. This paper demonstrates the ignorance of sign and boundary of parameters and consequences in estimation and hypothesis test by Monte Carlo simulation. This work proposes a distance-based optimum solution for testing unit root subject to the restriction of boundary and sign problem. Monte Carlo simulation study shows that the proposed one-sided test of testing unit root performs better than the usual tests interms of power property.
Author: Rinat Akter
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659306402
Category :
Languages : en
Pages : 188
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Book Description
Usual test of testing unit root tests such as Dickey-Fuller (DF), Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) tests ignore sign and boundary parameters. Ignorance of these problems may results in unusual estimate and test results. This paper demonstrates the ignorance of sign and boundary of parameters and consequences in estimation and hypothesis test by Monte Carlo simulation. This work proposes a distance-based optimum solution for testing unit root subject to the restriction of boundary and sign problem. Monte Carlo simulation study shows that the proposed one-sided test of testing unit root performs better than the usual tests interms of power property.
Author: Marc Wildi
Publisher: Springer Science & Business Media
ISBN: 3540269169
Category : Business & Economics
Languages : en
Pages : 283
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Book Description
The material contained in this book originated in interrogations about modern practice in time series analysis. • Why do we use models optimized with respect to one-step ahead foreca- ing performances for applications involving multi-step ahead forecasts? • Why do we infer 'long-term' properties (unit-roots) of an unknown process from statistics essentially based on short-term one-step ahead forecasting performances of particular time series models? • Are we able to detect turning-points of trend components earlier than with traditional signal extraction procedures? The link between 'signal extraction' and the first two questions above is not immediate at first sight. Signal extraction problems are often solved by su- ably designed symmetric filters. Towards the boundaries (t = 1 or t = N) of a time series a particular symmetric filter must be approximated by asymm- ric filters. The time series literature proposes an intuitively straightforward solution for solving this problem: • Stretch the observed time series by forecasts generated by a model. • Apply the symmetric filter to the extended time series. This approach is called 'model-based'. Obviously, the forecast-horizon grows with the length of the symmetric filter. Model-identification and estimation of unknown parameters are then related to the above first two questions. One may further ask, if this approximation problem and the way it is solved by model-based approaches are important topics for practical purposes? Consider some 'prominent' estimation problems: • The determination of the seasonally adjusted actual unemployment rate.
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: Siem Jan Koopman
Publisher: Oxford University Press
ISBN: 0199683662
Category : Business & Economics
Languages : en
Pages : 389
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Book Description
Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.
Author: Mark A. Pinsky
Publisher: American Mathematical Soc.
ISBN: 0821868896
Category : Mathematics
Languages : en
Pages : 545
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Book Description
Building on the basic techniques of separation of variables and Fourier series, the book presents the solution of boundary-value problems for basic partial differential equations: the heat equation, wave equation, and Laplace equation, considered in various standard coordinate systems--rectangular, cylindrical, and spherical. Each of the equations is derived in the three-dimensional context; the solutions are organized according to the geometry of the coordinate system, which makes the mathematics especially transparent. Bessel and Legendre functions are studied and used whenever appropriate throughout the text. The notions of steady-state solution of closely related stationary solutions are developed for the heat equation; applications to the study of heat flow in the earth are presented. The problem of the vibrating string is studied in detail both in the Fourier transform setting and from the viewpoint of the explicit representation (d'Alembert formula). Additional chapters include the numerical analysis of solutions and the method of Green's functions for solutions of partial differential equations. The exposition also includes asymptotic methods (Laplace transform and stationary phase). With more than 200 working examples and 700 exercises (more than 450 with answers), the book is suitable for an undergraduate course in partial differential equations.
Author: Alan Jeffrey
Publisher: CRC Press
ISBN: 9780412621505
Category : Mathematics
Languages : en
Pages : 934
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Book Description
This edition of the book has been revised with the needs of present-day first-year engineering students in mind. Apart from many significant extensions to the text, attention has been paid to the inclusion of additional explanatory material wherever it seems likely to be helpful and to a lowering of the rigour of proofs given in previous editions - without losing sight of the necessity to justify results. New problem sets are included for use with commonly available software products. The mathematical requirements common to first year engineering students of every discipline are covered in detail with numerous illustrative worked examples given throughout the text. Extensive problem sets are given at the end of each chapter with answers to odd-numbered questions provided at the end of the book.
Author: Katsuto Tanaka
Publisher: John Wiley & Sons
ISBN: 1119132096
Category : Mathematics
Languages : en
Pages : 903
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Book Description
Reflects the developments and new directions in the field since the publication of the first successful edition and contains a complete set of problems and solutions This revised and expanded edition reflects the developments and new directions in the field since the publication of the first edition. In particular, sections on nonstationary panel data analysis and a discussion on the distinction between deterministic and stochastic trends have been added. Three new chapters on long-memory discrete-time and continuous-time processes have also been created, whereas some chapters have been merged and some sections deleted. The first eleven chapters of the first edition have been compressed into ten chapters, with a chapter on nonstationary panel added and located under Part I: Analysis of Non-fractional Time Series. Chapters 12 to 14 have been newly written under Part II: Analysis of Fractional Time Series. Chapter 12 discusses the basic theory of long-memory processes by introducing ARFIMA models and the fractional Brownian motion (fBm). Chapter 13 is concerned with the computation of distributions of quadratic functionals of the fBm and its ratio. Next, Chapter 14 introduces the fractional Ornstein–Uhlenbeck process, on which the statistical inference is discussed. Finally, Chapter 15 gives a complete set of solutions to problems posed at the end of most sections. This new edition features: • Sections to discuss nonstationary panel data analysis, the problem of differentiating between deterministic and stochastic trends, and nonstationary processes of local deviations from a unit root • Consideration of the maximum likelihood estimator of the drift parameter, as well as asymptotics as the sampling span increases • Discussions on not only nonstationary but also noninvertible time series from a theoretical viewpoint • New topics such as the computation of limiting local powers of panel unit root tests, the derivation of the fractional unit root distribution, and unit root tests under the fBm error Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, Second Edition, is a reference for graduate students in econometrics or time series analysis. Katsuto Tanaka, PhD, is a professor in the Faculty of Economics at Gakushuin University and was previously a professor at Hitotsubashi University. He is a recipient of the Tjalling C. Koopmans Econometric Theory Prize (1996), the Japan Statistical Society Prize (1998), and the Econometric Theory Award (1999). Aside from the first edition of Time Series Analysis (Wiley, 1996), Dr. Tanaka had published five econometrics and statistics books in Japanese.
Author: EduGorilla Prep Experts
Publisher: EduGorilla Community Pvt. Ltd.
ISBN: 9355569548
Category : Education
Languages : en
Pages : 214
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Book Description
• Best Selling Book in English Edition for Jammu and Kashmir Bank Apprentice Recruitment Exam with objective-type questions as per the latest syllabus. • Jammu and Kashmir Bank Apprentice Recruitment Exam Preparation Kit comes with 15 Practice Tests with the best quality content. • Increase your chances of selection by 16X. • Jammu and Kashmir Bank Apprentice Recruitment Exam Prep Kit comes with well-structured and 100% detailed solutions for all the questions. • Clear exam with good grades using thoroughly Researched Content by experts.
Author: Pallavi Tripathi
Publisher: Arihant Publications India limited
ISBN: 9325292211
Category :
Languages : en
Pages : 1144
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Book Description
1. Manual Provides Comprehensive treatment in all 5 Sections explaining each of them in a distinguished manner. 2. 7 MAT Previous Years’ Solved Papers [2019 – 2014] telling latest trends, weightage, short cut tricks, Fast Solving Methods etc. 3. 2 Mock Tests for Practicing the concepts 4. The book also carries GD & PI sections to improve the inner personality, team work, decision making and more. 5. Every concept is well explained in an easy & interactive manner for quick understanding. Management Aptitude Test or MAT is a national level MBA Entrance Test conducted four times a year for graduates both Computer Based and Paper Based exam for the admission to over 600 Business Schools across India. “Mission MBA MAT” opens the way to get into the good reputed Business schools & colleges. A Complete Reference Manual for MAT, providing comprehensive treatment of all the sections designed as prescribed syllabus. Theories provided in each chapter highlight the silent features of the book and making it a student friendly. With MAT Solved Papers (2020 – 2014), Previous Questions and 2 Mock Tests one can get thorough with all the theories and concepts. Other than emphasizing on theories the book has a separate section for “Corporate GK” and “Group Discussion & Personal Interview” helping you to improve your inner personality. Housed with absolute study material and thorough practice done from this book you can get assured with great ranking in the examination. TABLE OF CONTENT MAT SOLVED PAPER 2020 (Sept), MAT SOLVED PAPER 2019 (Dec), MAT SOLVED PAPER 2018 (Feb), MAT SOLVED PAPER 2017 (Feb), MAT SOLVED PAPER 2016 (Feb), MAT SOLVED PAPER 2015, MAT SOLVED PAPER 2014, English Language, Mathematical Skills, Data Interpretation & Data Sufficiency, Intelligence & Critical Reasoning, Indian Global Environment, Corporate GK (With Question Bank), Group Discussion & Personal Interview, Mock Test-1, Mock Test-2.
Author: Dennis G. Zill
Publisher:
ISBN: 9780534420741
Category : Boundary value problems
Languages : en
Pages : 619
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Book Description
Now enhanced with the innovative DE Tools CD-ROM and the iLrn teaching and learning system, this proven text explains the "how" behind the material and strikes a balance between the analytical, qualitative, and quantitative approaches to the study of differential equations. This accessible text speaks to students through a wealth of pedagogical aids, including an abundance of examples, explanations, "Remarks" boxes, definitions, and group projects. This book was written with the student's understanding firmly in mind. Using a straightforward, readable, and helpful style, this book provides a thorough treatment of boundary-value problems and partial differential equations.
