Dickey-Fuller Cointegration Tests in the Presence of Regime Shifts at Known Time PDF Download
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Author: Uwe Hassler
Publisher:
ISBN: 9783935058100
Category :
Languages : en
Pages : 26
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Book Description
Author: Uwe Hassler
Publisher:
ISBN: 9783935058100
Category :
Languages : en
Pages : 26
Get Book Here
Book Description
Author: Allan W. Gregory
Publisher: Kingston, Ont. : Institute for Economic Research, Queen's University
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 27
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Book Description
Author: Gebhard Kirchgässner
Publisher: Springer Science & Business Media
ISBN: 3642334369
Category : Business & Economics
Languages : en
Pages : 326
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Book Description
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Author: Julia Campos
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 60
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Book Description
Author: Ms.Elva Bova
Publisher: International Monetary Fund
ISBN: 148433695X
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
This paper explores conditions and policies that could affect the matching between labor demand and supply. We identify shifts in the Beveridge curves for 12 OECD countries between 2000Q1 and 2013Q4 using three complementary methodologies and analyze the short-run determinants of these shifts by means of limited-dependent variable models. We find that labor force growth as well as employment protection legislation reduce the likelihood of an outward shift in the Beveridge curve,. Our findings also show that the matching process is more difficult the higher the share of employees with intermediate levels of education in the labor force and when long-term unemployment is more pronounced. Policies which could facilitate labor market matching include active labor market policies, such as incentives for start-up and job sharing programs. Passive labor market policies, such as unemployment benefits, as well as labor taxation render matching signficantly more difficult.
Author: Salvatore Ingrassia
Publisher: Springer Science & Business Media
ISBN: 364211363X
Category : Mathematics
Languages : en
Pages : 576
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Book Description
This volume provides recent research results in data analysis, classification and multivariate statistics and highlights perspectives for new scientific developments within these areas. Particular attention is devoted to methodological issues in clustering, statistical modeling and data mining. The volume also contains significant contributions to a wide range of applications such as finance, marketing, and social sciences. The papers in this volume were first presented at the 7th Conference of the Classification and Data Analysis Group (ClaDAG) of the Italian Statistical Society, held at the University of Catania, Italy.
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:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 716
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Book Description
Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193
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Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author: Fredj Jawadi
Publisher: Emerald Group Publishing
ISBN: 1784417793
Category : Business & Economics
Languages : en
Pages : 559
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Book Description
This is Volume 24 of the monograph series International Symposia in Economic Theory and Econometrics. ISETE publishes proceedings of conferences and symposia, as well as research monographs of the highest quality and importance.
