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Author: B Bhaskara Rao (Ed.)
Publisher: Allied Publishers
ISBN: 9788170237211
Category :
Languages : en
Pages : 254
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Book Description
Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
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Book Description
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Author: Richard I. D. Harris
Publisher: Prentice Hall
ISBN: 9780133558920
Category : Business & Economics
Languages : en
Pages : 176
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Book Description
Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
Author: Katarina Juselius
Publisher: OUP Oxford
ISBN: 0191622966
Category : Business & Economics
Languages : en
Pages : 478
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Book Description
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author: Michael McAleer
Publisher: Wiley-Blackwell
ISBN: 9780631211983
Category : Business & Economics
Languages : en
Pages : 284
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Book Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Author: Steinar Strøm
Publisher: Cambridge University Press
ISBN: 9780521633239
Category : Business & Economics
Languages : en
Pages : 514
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Book Description
Table of Contents
Author: Paul Söderlind
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
Author: Katarina Juselius
Publisher: MDPI
ISBN: 3038429554
Category : Business & Economics
Languages : en
Pages : 219
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Book Description
This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics
Author: Clive William John Granger
Publisher:
ISBN:
Category : Analisis de series de tiempo
Languages : en
Pages : 301
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Book Description
Author: Kerry Patterson
Publisher: Palgrave Macmillan
ISBN: 9780312235130
Category : Business & Economics
Languages : en
Pages : 797
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Book Description
Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist texts, such as integrated time series, cointegration, simulation analysis, Johansen's Approach to multivariate co-integration and ARCH. The author explains the central distinction between stationary and nonstationary time series, which is of crucial importance in many areas of analysis, especially in macroeconomics and financial economics.
Author: Chia-Lin Chang
Publisher: MDPI
ISBN: 3038979260
Category : Business & Economics
Languages : en
Pages : 222
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Book Description
Although the theme of the monograph is primarily related to “Applied Econometrics”, there are several theoretical contributions that are associated with empirical examples, or directions in which the novel theoretical ideas might be applied. The monograph is associated with significant and novel contributions in theoretical and applied econometrics; economics; theoretical and applied financial econometrics; quantitative finance; risk; financial modeling; portfolio management; optimal hedging strategies; theoretical and applied statistics; applied time series analysis; forecasting; applied mathematics; energy economics; energy finance; tourism research; tourism finance; agricultural economics; informatics; data mining; bibliometrics; and international rankings of journals and academics.
