Unit Root Tests in Time Series Volume 1 PDF Download
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Author: K. Patterson
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
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Book Description
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Author: K. D. Patterson
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages :
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Book Description
Author: K. Patterson
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
Get Book Here
Book Description
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Author: K. Patterson
Publisher: Springer
ISBN: 1137003316
Category : Business & Economics
Languages : en
Pages : 586
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Book Description
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Terence C. Mills
Publisher: Springer
ISBN: 1137525339
Category : Business & Economics
Languages : en
Pages : 163
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Book Description
This book provides an introductory treatment of time series econometrics, a subject that is of key importance to both students and practitioners of economics. It contains material that any serious student of economics and finance should be acquainted with if they are seeking to gain an understanding of a real functioning economy.
Author: Nigar Hashimzade
Publisher: Edward Elgar Publishing
ISBN: 0857931024
Category : Business & Economics
Languages : en
Pages : 627
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Book Description
This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author: David McDowall
Publisher: Oxford University Press
ISBN: 0190943971
Category : Medical
Languages : en
Pages : 240
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Book Description
Interrupted Time Series Analysis develops a comprehensive set of models and methods for drawing causal inferences from time series. It provides example analyses of social, behavioral, and biomedical time series to illustrate a general strategy for building AutoRegressive Integrated Moving Average (ARIMA) impact models. Additionally, the book supplements the classic Box-Jenkins-Tiao model-building strategy with recent auxiliary tests for transformation, differencing, and model selection. Not only does the text discuss new developments, including the prospects for widespread adoption of Bayesian hypothesis testing and synthetic control group designs, but it makes optimal use of graphical illustrations in its examples. With forty completed example analyses that demonstrate the implications of model properties, Interrupted Time Series Analysis will be a key inter-disciplinary text in classrooms, workshops, and short-courses for researchers familiar with time series data or cross-sectional regression analysis but limited background in the structure of time series processes and experiments.
Author: Terence C. Mills
Publisher: Academic Press
ISBN: 0128131187
Category : Business & Economics
Languages : en
Pages : 354
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Book Description
Written for those who need an introduction, Applied Time Series Analysis reviews applications of the popular econometric analysis technique across disciplines. Carefully balancing accessibility with rigor, it spans economics, finance, economic history, climatology, meteorology, and public health. Terence Mills provides a practical, step-by-step approach that emphasizes core theories and results without becoming bogged down by excessive technical details. Including univariate and multivariate techniques, Applied Time Series Analysis provides data sets and program files that support a broad range of multidisciplinary applications, distinguishing this book from others. Focuses on practical application of time series analysis, using step-by-step techniques and without excessive technical detail Supported by copious disciplinary examples, helping readers quickly adapt time series analysis to their area of study Covers both univariate and multivariate techniques in one volume Provides expert tips on, and helps mitigate common pitfalls of, powerful statistical software including EVIEWS and R Written in jargon-free and clear English from a master educator with 30 years+ experience explaining time series to novices Accompanied by a microsite with disciplinary data sets and files explaining how to build the calculations used in examples
Author: Terence C. Mills
Publisher: Springer Nature
ISBN: 3030763595
Category : Business & Economics
Languages : en
Pages : 219
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Book Description
Modelling trends and cycles in economic time series has a long history, with the use of linear trends and moving averages forming the basic tool kit of economists until the 1970s. Several developments in econometrics then led to an overhaul of the techniques used to extract trends and cycles from time series. In this second edition, Terence Mills expands on the research in the area of trends and cycles over the last (almost) two decades, to highlight to students and researchers the variety of techniques and the considerations that underpin their choice for modelling trends and cycles.
Author: Richard McCleary
Publisher: Oxford University Press
ISBN: 0190661577
Category : Social Science
Languages : en
Pages : 393
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Book Description
Design and Analysis of Time Series Experiments presents the elements of statistical time series analysis while also addressing recent developments in research design and causal modeling. A distinguishing feature of the book is its integration of design and analysis of time series experiments. Readers learn not only how-to skills but also the underlying rationales for design features and analytical methods. ARIMA algebra, Box-Jenkins-Tiao models and model-building strategies, forecasting, and Box-Tiao impact models are developed in separate chapters. The presentation of the models and model-building assumes only exposure to an introductory statistics course, with more difficult mathematical material relegated to appendices. Separate chapters cover threats to statistical conclusion validity, internal validity, construct validity, and external validity with an emphasis on how these threats arise in time series experiments. Design structures for controlling the threats are presented and illustrated through examples. The chapters on statistical conclusion validity and internal validity introduce Bayesian methods, counterfactual causality, and synthetic control group designs. Building on the earlier time series books by McCleary and McDowall, Design and Analysis of Time Series Experiments includes recent developments in modeling, and considers design issues in greater detail than does any existing work. Drawing examples from criminology, economics, education, pharmacology, public policy, program evaluation, public health, and psychology, the text is addressed to researchers and graduate students in a wide range of behavioral, biomedical and social sciences. It will appeal to those who want to conduct or interpret time series experiments, as well as to those interested in research designs for causal inference.