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Author: Mårten Löf
Publisher:
ISBN: 9789172585560
Category :
Languages : en
Pages : 110
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Book Description
Author: Mårten Löf
Publisher:
ISBN: 9789172585560
Category :
Languages : en
Pages : 110
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Book Description
Author: Niels Haldrup
Publisher:
ISBN:
Category :
Languages : en
Pages : 115
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Book Description
Author: Robert M. Kunst
Publisher:
ISBN:
Category : Seasonal variations (Economics)
Languages : de
Pages : 60
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Book Description
Author: Neil R. Ericsson
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 72
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Book Description
Author: Raimundo Soto
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Book Description
Author: Robert M. Kunst
Publisher:
ISBN:
Category : Europe
Languages : en
Pages : 78
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Book Description
Author: Colin P. Hargreaves
Publisher: Oxford University Press, USA
ISBN:
Category : Business & Economics
Languages : en
Pages : 336
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Book Description
Nonstationary Time Series Analysis and Cointegration shows major developments in the econometric analysis of the long run (of nonstationarity and cointegration) - a field which has developed dramatically over the last twelve years to have a profound effect on econometric analysis in general. The papers here describe and evaluate new methods, provide useful overviews, and show detailed implementations helpful to practitioners. Papers include two substantive analyses of economic forecasting, based around an integral understanding of integration and cointegration and an evaluation of real business cycle models. There is an evaluation of different cointegration estimators and a new test for cointegration. There is a discussion of the effects of seasonality, looking at seasonal unit roots and at encompassing modelling with seasonally unadjusted versus adjusted data. A different style of nonstationarity is raised in a discussion of testing for inflationary bubbles and for time-varying transition probabilities in Hamilton's Markov switching model. This volume provides wide-ranging coverage of the literature, showing the importance of nonstationarity and cointegration.
Author: Philip Hans Franses
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series properties, it is necessary to decide how seasonal variation is included in the multivariate model and how standard cointegration methods should accordingly be modified. Seasonal cointegration and periodic cointegration methods are discussed, as are some of their recent refinements. An overview of further research topics is also provided.
Author: Ph. H. B. F. Franses
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
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.
