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Author: Soren Johansen
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
The error correction model for a vector valued time series has been proposed and applied in the economic literature with the papers by Sargan (1964), Davidson et al. (1978), Hendry and von Ungern-Sternberg (1981) and has been given a formal mathematical treatment by Granger (1983). He introduced the notion of cointegratedness of a vector process and showed the relation between cointegration and error correction models. This paper defines a general error correction model, that encompasses the usual error correction model as well as the integral correction model by allowing a finite number of error correction terms which correspond to linear combinations of the vector process that are integrated of different order. It is shown that this structure is inherent in the model if it is given in autoregressive form or moving average form by exploiting the singularity of the matrix function that defines the model. The theory is applied to some examples discussed by Davidson (1983) and Harvey (1982). (Author).
Author: Soren Johansen
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
The error correction model for a vector valued time series has been proposed and applied in the economic literature with the papers by Sargan (1964), Davidson et al. (1978), Hendry and von Ungern-Sternberg (1981) and has been given a formal mathematical treatment by Granger (1983). He introduced the notion of cointegratedness of a vector process and showed the relation between cointegration and error correction models. This paper defines a general error correction model, that encompasses the usual error correction model as well as the integral correction model by allowing a finite number of error correction terms which correspond to linear combinations of the vector process that are integrated of different order. It is shown that this structure is inherent in the model if it is given in autoregressive form or moving average form by exploiting the singularity of the matrix function that defines the model. The theory is applied to some examples discussed by Davidson (1983) and Harvey (1982). (Author).
Author: Jean-Pierre Urbain
Publisher: Springer Science & Business Media
ISBN: 3642957064
Category : Business & Economics
Languages : en
Pages : 201
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Book Description
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
Author: Neil R. Ericsson
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 28
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Author: Josef Gruber
Publisher: Springer Science & Business Media
ISBN: 3642516750
Category : Business & Economics
Languages : en
Pages : 629
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Book Description
This volume contains a refereed selection of revised papers which were originally presented at the Second International Conference on Econometric Decision Models, University of Hagen (FernUni versitat). The conference was held in Haus Nordhelle, a meeting place in the mountainous area " Sauerland" , some 50 kilometers south of Hagen, on August 29 - September 1, 1989. Some details about this conference are given in the first paper, they need not be repeated here. The 40 papers included in this volume are organized in 10 "parts", shown in the table of contents. Included are such "fashionable" topics like "optimal control", "cointegration" and "rational expec tations models". In each part, the papers have been arranged alphabetically by author, unless there were good reasons for a different arrangement. To facilitate the decision making of the readers, all papers (except a few short ones) contain an abstract, a list of keywords and a table of contents. At the end of the proceedings volume, there is a list of authors. More than ten years ago, I began to organize meetings of econometricians, mainly called "seminar" or " colloquium". One major purpose of these meetings has always been to improve international cooperation of econometric model builders (and model users) from "the East" and "the West". Unprecedented changes to the better have taken place recently ("perestroika"). For a large fraction of participants from the Soviet Union, the 1989 conference was the first conference in a Western country.
Author: Mark Salmon
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 50
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Author: Athanasios C. Antoulas
Publisher: Springer Science & Business Media
ISBN: 3662085461
Category : Technology & Engineering
Languages : en
Pages : 589
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Book Description
Over the past three decades R.E. Kalman has been one of the most influential personalities in system and control theory. His ideas have been instrumental in a variety of areas. This is a Festschrift honoring his 60th birthday. It contains contributions from leading researchers in the field giving an account of the profound influence of his ideas in a number of areas of active research in system and control theory. For example, since their introduction by Kalman in the early 60's, the concepts of controllability and observability of dynamical systems with inputs, have been the corner stone of the great majority of investigations in the field.
Author: Clive W. J. Granger
Publisher: Cambridge University Press
ISBN: 9780521796491
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.
Author: Bernt P. Stigum
Publisher: MIT Press
ISBN: 0262028581
Category : Business & Economics
Languages : en
Pages : 389
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Book Description
An examination of the role of theory in applied econometrics.
Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 1036
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Author: Jaebeom Kim
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 43
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