Essays in Nonlinear Time Series Econometrics PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Essays in Nonlinear Time Series Econometrics PDF full book. Access full book title Essays in Nonlinear Time Series Econometrics by Niels Haldrup. Download full books in PDF and EPUB format.
Author: Niels Haldrup
Publisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
Get Book Here
Book Description
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Author: Niels Haldrup
Publisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
Get Book Here
Book Description
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Author: Clive W. J. Granger
Publisher: Cambridge University Press
ISBN: 9780521774963
Category : Business & Economics
Languages : en
Pages : 548
Get Book Here
Book Description
These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Author: Marc Nerlove
Publisher: Cambridge University Press
ISBN: 9780521022460
Category : Business & Economics
Languages : en
Pages : 388
Get Book Here
Book Description
This volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.
Author: Mark Watson
Publisher: Oxford University Press
ISBN: 0199549494
Category : Business & Economics
Languages : en
Pages : 432
Get Book Here
Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author: Daisuke Nagakura
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 220
Get Book Here
Book Description
Author: Tim Bollerslev
Publisher: OUP Oxford
ISBN: 0191572195
Category : Business & Economics
Languages : en
Pages : 432
Get Book Here
Book Description
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Author: Tae Suk Lee
Publisher:
ISBN:
Category : Analysis of variance
Languages : en
Pages : 228
Get Book Here
Book Description
"This dissertation consists of two essays dealing respectively with estimation of volatility and test for a jump using high frequency data. Chapter 1 investigates the properties of pre-averaging estimators of integrated volatility, first considered by Podolskij and Vetter (2009). We relax their assumptions on the properties of market microstructure noise in order to include realistic and empirically relevant features of noise such as missing data and flat price trading. We develop an asymptotic theory of our estimator using martingale convergence theorems. Especially we deal with the boundary problem of pre-averaging and we provide a solution to the parameters-on-the-boundary problem posed by pre-averaging estimators. Building on that theory, we show that a general linear combination of estimators can be made unbiased, and we devise a rate-optimal estimator of the integrated volatility. In addition, we derive a bootstrap statistic to assess the variance of our estimator. This allows us to optimally select the estimator's smoothing parameter from the data, providing an additional improvement over previously-considered pre-averaging estimators. Because our methodology and assumptions on the market microstructure noise component are general, our estimator can also be applied to multivariate time series without any need to correct for asynchronicity in the observations. Monte Carlo experiments show that our theoretical results are valid in realistic cases. Chapter 2 shows that the power of any test of this hypothesis depends on the frequency of observation. In particular, we show that if the process is observed at intervals of length 1/n and the instantaneous volatility of the process is given by [sigma]t, at best one can detect jumps of height no smaller than [sigma]t[...characters removed]. We construct a test which achieves this rate in the case for diffusion-type processes. With simulation experiments, we show that our tests have good size and power properties in many cases with realistic sample sizes and that they outperform other tests that have been proposed in the recent literature. Applying our tests to high-frequency financial data, we detect more jumps in the data than are found by other tests."--Leaves v-vi.
Author: C. W. J. Granger
Publisher:
ISBN: 9780521796972
Category : Business & Economics
Languages : en
Pages :
Get Book Here
Book Description
Vol. I: This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors. Vol. II: This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.
Author: Clive William John Granger
Publisher:
ISBN: 9780511297625
Category : Econometrics
Languages : en
Pages :
Get Book Here
Book Description
These essays by Clive W.J. Granger span more than four decades and cover major topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. The introduction by Eric Gysels, Norman R. Swanson and Mark W. Watson places the essays in context and demonstrates their enduring value.
Author: David F. Hendry
Publisher: Oxford University Press, USA
ISBN: 0198293542
Category : Business & Economics
Languages : en
Pages : 561
Get Book Here
Book Description
"Econometrics: Alchemy or Science?" analyses the effectiveness and validity of applying econometric methods to economic time series. The methodological dispute is long-standing, and no claim can be made for a single valid method, but recent results on the theory and practice of model selection bid fair to resolve many of the contentious issues.The book presents criticisms and evaluations of competing approaches, based on theoretical economic and econometric analyses, empirical applications, and Monte Carlo simulations, which interact to determine best practice. It explains the evolution of an approach to econometric modelling founded in careful statistical analyses of the available data, using economic theory to guide the general model specification. From a strong foundation in the theory of reduction, via a range of applied andsimulation studies, it demonstrates that general-to-specific procedures have excellent properties.The book is divided into four Parts: Routes and Route Maps; Empirical Modelling Strategies; Formalization; and Retrospect and Prospect. A short preamble to each chapter sketches the salient themes, links to earlier and later developments, and the lessons learnt or missed at the time. A sequence of detailed empirical studies of consumers' expenditure and money demand illustrate most facets of the approach. Material new to this revised edition describes recent major advances in computer-automatedmodel selection, embodied in the powerful new software program PcGets, which establish the operational success of the modelling strategy.
