Estimating Deterministic Trends with an Integrated Or Stationary Noise Component PDF Download
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Author: Pierre Perron
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 42
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Book Description
A test is proposed for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. Let [alpha] be the sum of the autoregressive coefficients in the autoregressive representation of the series. The procedure is based on a Feasible Quasi Generalized Least Squares method from an AR(1) specification with parameter [alpha]. The estimate of [alpha] is the OLS estimate obtained from an autoregression applied to detrended data and is truncated to take a value 1 whenever the estimate is in a T [to the power of negative delta] neighborhood of 1. This makes the estimate "super-efficient" when [alpha]=1 and implies that inference on the slope parameter can be performed using the standard Normal distribution whether [alpha]=1 or [absolute alpha is less than] 1. Theoretical arguments and simulation evidence show that d=1/2 is the appropriate choice. Simulations show that this procedure has good size properties and greater power than the tests proposed by Vogelsang (1998). Applications to inference about the growth rates of GNP for many countries show the usefulness of the method.--Authors' abstract.
Author: Pierre Perron
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 42
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Book Description
A test is proposed for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. Let [alpha] be the sum of the autoregressive coefficients in the autoregressive representation of the series. The procedure is based on a Feasible Quasi Generalized Least Squares method from an AR(1) specification with parameter [alpha]. The estimate of [alpha] is the OLS estimate obtained from an autoregression applied to detrended data and is truncated to take a value 1 whenever the estimate is in a T [to the power of negative delta] neighborhood of 1. This makes the estimate "super-efficient" when [alpha]=1 and implies that inference on the slope parameter can be performed using the standard Normal distribution whether [alpha]=1 or [absolute alpha is less than] 1. Theoretical arguments and simulation evidence show that d=1/2 is the appropriate choice. Simulations show that this procedure has good size properties and greater power than the tests proposed by Vogelsang (1998). Applications to inference about the growth rates of GNP for many countries show the usefulness of the method.--Authors' abstract.
Author: Pierre Perron
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 64
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Book Description
This paper considers the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. We propose a new approach that builds on the work of Perron and Yabu (2005), based on a Feasible Quasi Generalized Least Squares procedure that uses a superefficient estimate of the sum of the autoregressive parameters when =1. In the case of a known break date, the resulting Wald test has a chi-square limit distribution in both the I(0) and I(1) cases. When the break date is unknown, the Exp functional of Andrews and Ploberger (1994) yields a test with nearly identical limit distributions in the two cases so that a testing procedure with nearly the same size in the I(0) and I(1) cases can be obtained. To improve the finite sample properties of the tests, we use the bias corrected version of the OLS estimate of proposed by Roy and Fuller (2001). We show our procedure to be substantially more powerful than currently available alternatives and also to have a power function that is close to that attainable if we knew the true value of in many cases. The extension to the case of multiple breaks is also discussed.--Publisher's description.
Author: Steven Durlauf
Publisher: Springer
ISBN: 0230280838
Category : Business & Economics
Languages : en
Pages : 417
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Book Description
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author: Chihwa Kao
Publisher: World Scientific
ISBN: 9811200173
Category : Business & Economics
Languages : en
Pages : 179
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Book Description
In many applications of econometrics and economics, a large proportion of the questions of interest are identification. An economist may be interested in uncovering the true signal when the data could be very noisy, such as time-series spurious regression and weak instruments problems, to name a few. In this book, High-Dimensional Econometrics and Identification, we illustrate the true signal and, hence, identification can be recovered even with noisy data in high-dimensional data, e.g., large panels. High-dimensional data in econometrics is the rule rather than the exception. One of the tools to analyze large, high-dimensional data is the panel data model.High-Dimensional Econometrics and Identification grew out of research work on the identification and high-dimensional econometrics that we have collaborated on over the years, and it aims to provide an up-todate presentation of the issues of identification and high-dimensional econometrics, as well as insights into the use of these results in empirical studies. This book is designed for high-level graduate courses in econometrics and statistics, as well as used as a reference for researchers.
Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
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Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author: Terence C. Mills
Publisher: Academic Press
ISBN: 0128131179
Category : Business & Economics
Languages : en
Pages : 354
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Book Description
Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others.
Author: Thomas B. Fomby
Publisher: Emerald Group Publishing
ISBN: 1784411825
Category : Political Science
Languages : en
Pages : 772
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Book Description
This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
Author: Nigar Hashimzade
Publisher: Edward Elgar Publishing
ISBN: 0857931024
Category : Business & Economics
Languages : en
Pages : 627
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Book Description
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author:
Publisher: Springer
ISBN: 1349588024
Category : Law
Languages : en
Pages : 7493
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Book Description
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author: Stephan Pfaffenzeller
Publisher: Routledge
ISBN: 1317483618
Category : Business & Economics
Languages : en
Pages : 166
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Book Description
The early 21st century has seen a prolonged price boom in non-fuel commodities, coupled with a volatile performance in fuel prices. This new collection presents the latest research on commodity prices and economic development in the context of this changing globalized economy. Global Commodity Markets and Development Economics brings together analyses from a number of perspectives in order to explore commodity price developments. Chapters explore long term commodity trends, the evolution of relative price developments, the relationship of the domestic commodity sector with global supply chains, agri-food prices, and the role of oil markets in the global economy. Through considering a diverse range of countries including China, Russia and the United States, the authors examine key fuel and non-fuel commodity markets and offer a window into important trends and developments. This book will be relevant to those with an interest in development economics, international economics and energy markets.
