Author: Søren Johansen
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 60
Book Description
Likelihood Analysis of Seasonal Cointegration
Author: Søren Johansen
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 60
Book Description
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 60
Book Description
Size and Power of the Likelihood Ratio Test for Seasonal Cointegration in Small Samples: A Monte Carlo Study
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Stockholm School of Economics presents an abstract for the paper entitled "Size and Power of the Likelihood Ratio Test for Seasonal Cointegration in Small Samples: A Monte Carlo Study," by Marten Lof. The article discusses the small sample size and power properties of the likelihood ratio test in the seasonal error correction model.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Stockholm School of Economics presents an abstract for the paper entitled "Size and Power of the Likelihood Ratio Test for Seasonal Cointegration in Small Samples: A Monte Carlo Study," by Marten Lof. The article discusses the small sample size and power properties of the likelihood ratio test in the seasonal error correction model.
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Author: Søren Johansen
Publisher: OUP Oxford
ISBN: 0191525065
Category : Business & Economics
Languages : en
Pages : 278
Book Description
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
Publisher: OUP Oxford
ISBN: 0191525065
Category : Business & Economics
Languages : en
Pages : 278
Book Description
This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
Practical Issues in Cointegration Analysis
Author: Michael McAleer
Publisher: Wiley-Blackwell
ISBN: 9780631211983
Category : Business & Economics
Languages : en
Pages : 284
Book Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Publisher: Wiley-Blackwell
ISBN: 9780631211983
Category : Business & Economics
Languages : en
Pages : 284
Book Description
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Seasonal Cointegration in Macroeconomic Systems
Author: Robert M. Kunst
Publisher:
ISBN:
Category : Europe
Languages : en
Pages : 78
Book Description
Publisher:
ISBN:
Category : Europe
Languages : en
Pages : 78
Book Description
An I(2) Cointegration Model with Piecewise Linear Trends
Author: Takamitsu Kurita
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Econometric Analysis of Seasonal Time Series
Author: Eric Ghysels
Publisher: Cambridge University Press
ISBN: 9780521565882
Category : Business & Economics
Languages : en
Pages : 258
Book Description
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
Publisher: Cambridge University Press
ISBN: 9780521565882
Category : Business & Economics
Languages : en
Pages : 258
Book Description
Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
On the Properties of Likelihood Analysis for Cointegrated Systems
Author: Kristina Kostial
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages :
Book Description
Cointegration, Causality, and Forecasting
Author: Halbert White
Publisher: Oxford University Press, USA
ISBN: 9780198296836
Category : Business & Economics
Languages : en
Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Publisher: Oxford University Press, USA
ISBN: 9780198296836
Category : Business & Economics
Languages : en
Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Tests of seasonal integration and cointegration in multivariate unobserved component models
Author: Fabio Busetti
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 52
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 52
Book Description