The Structural Econometric Time Series Analysis Approach PDF Download
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Author: Arnold Zellner
Publisher: Cambridge University Press
ISBN: 9781139453431
Category : Business & Economics
Languages : en
Pages : 736
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Book Description
Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.
Author: Arnold Zellner
Publisher: Cambridge University Press
ISBN: 9781139453431
Category : Business & Economics
Languages : en
Pages : 736
Get Book Here
Book Description
Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.
Author: Andrew C. Harvey
Publisher: Cambridge University Press
ISBN: 9780521405737
Category : Business & Economics
Languages : en
Pages : 574
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Book Description
A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
Author: Klaus Neusser
Publisher: Springer
ISBN: 331932862X
Category : Business & Economics
Languages : en
Pages : 421
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Book Description
This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Author: Eric Ghysels
Publisher: Cambridge University Press
ISBN: 9780521565882
Category : Business & Economics
Languages : en
Pages : 258
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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.
Author: Helmut Lütkepohl
Publisher: Cambridge University Press
ISBN: 1139454730
Category : Business & Economics
Languages : en
Pages : 351
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Book Description
Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Author: Robert A. Cord
Publisher: Springer Nature
ISBN: 3031017757
Category : Business & Economics
Languages : en
Pages : 1088
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Book Description
The University of Chicago has been and continues to be one of the most important global centres for economics. With six chapters on themes in Chicago economics and 33 chapters on the lives and work of Chicago economists, this volume shows how economics became established at the University, how it produced some of the world’s best-known economists, including Frank Knight, Milton Friedman and Robert Lucas, and how it remains a global force for the very best in teaching and research in economics. With original contributions from a stellar cast, this volume provides economists – especially those interested in macroeconomics and the history of economic thought – with an in-depth analysis of Chicago economics.
Author: Pierre Perron
Publisher:
ISBN: 9789813237896
Category : Econometrics
Languages : en
Pages :
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Book Description
Part I. Unit roots and trend breaks -- Part II. Structural change
Author: John D. Levendis
Publisher: Springer
ISBN: 3319982826
Category : Business & Economics
Languages : en
Pages : 409
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Book Description
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Author: Helmut Lütkepohl
Publisher: Springer Science & Business Media
ISBN: 3662026910
Category : Business & Economics
Languages : en
Pages : 556
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Book Description
Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193
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Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
