Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Unit Roots, Cointegration, and Structural Change
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Three Essays on Unit Roots, Cointegration, and Structural Changes
Author: Inpyo Lee
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 153
Book Description
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 153
Book Description
Unit Roots and Structural Breaks
Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Almost All About Unit Roots
Author: In Choi
Publisher: Cambridge University Press
ISBN: 1107097339
Category : Business & Economics
Languages : en
Pages : 301
Book Description
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Publisher: Cambridge University Press
ISBN: 1107097339
Category : Business & Economics
Languages : en
Pages : 301
Book Description
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Cointegration
Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
Book Description
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
Book Description
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Unit Root, Cointegration and Structural Changes: Theoretical Analyses and Improved Testing Procedures
Author: Dukpa Kim
Publisher:
ISBN: 9781109976205
Category :
Languages : en
Pages : 233
Book Description
The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced.
Publisher:
ISBN: 9781109976205
Category :
Languages : en
Pages : 233
Book Description
The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced.
Nonstationary Panels, Panel Cointegration, and Dynamic Panels
Author: Badi H. Baltagi
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351
Book Description
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351
Book Description
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Analysis of Integrated and Cointegrated Time Series with R
Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193
Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193
Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Structural Change and Unit Roots
Author: In-Moo Kim
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 196
Book Description
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 196
Book Description
Macroeconomic Forecasting in the Era of Big Data
Author: Peter Fuleky
Publisher: Springer Nature
ISBN: 3030311503
Category : Business & Economics
Languages : en
Pages : 716
Book Description
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Publisher: Springer Nature
ISBN: 3030311503
Category : Business & Economics
Languages : en
Pages : 716
Book Description
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.