Author: S. HyllebergPublisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
Seasonal Integration and Cointegration
Author: S. HyllebergPublisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
Tests of seasonal integration and cointegration in multivariate unobserved component models
Author: Fabio BusettiPublisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 52
Book Description
Seasonal Integration and Cointegration
Author: Niels HaldrupPublisher:
ISBN:
Category :
Languages : en
Pages : 115
Book Description
Testing for Seasonal Integration and Seasonal Cointegration
Author: Gerhard ThuryPublisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
A Score Test for Seasonal Fractional Integration and Cointegration
Author: Param SilvapullePublisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 38
Book Description
Test of Seasonal Integration and Cointegration in Multivariate Unobserved Component Models
Author: Fabio BusettiPublisher:
ISBN:
Category :
Languages : en
Pages : 40
Book Description
Seasonal Integration and Cointegration, (1955-1984)
Author: Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Cf.: http://dx.doi.org/10.3886/ICPSR01041.v1.
Tests of Seasonal Integration and Cointegration in Multivariante Unobserved Component Models
Author: Fabio BusettiPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Nonstationary Time Series Analysis and Cointegration
Author: Colin P. HargreavesPublisher: Oxford University Press, USA
ISBN:
Category : Business & Economics
Languages : en
Pages : 336
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.
A Score Test for Seasonal Fractional Integration and Cointegration
Author: Param SilvapullePublisher:
ISBN: 9781864460919
Category : Cointegration
Languages : en
Pages : 22
Book Description
