Workbook on Cointegration PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Workbook on Cointegration PDF full book. Access full book title Workbook on Cointegration by Peter Reinhard Hansen. Download full books in PDF and EPUB format.
Author: Peter Reinhard Hansen
Publisher: Oxford University Press, USA
ISBN: 9780198776086
Category : Business & Economics
Languages : en
Pages : 178
Get Book Here
Book Description
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author: Peter Reinhard Hansen
Publisher: Oxford University Press, USA
ISBN: 9780198776086
Category : Business & Economics
Languages : en
Pages : 178
Get Book Here
Book Description
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280
Get Book Here
Book Description
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author: Peter Hansen
Publisher:
ISBN:
Category :
Languages : en
Pages : 160
Get Book Here
Book Description
Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193
Get Book Here
Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
Get Book Here
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.
Author: Richard I. D. Harris
Publisher: Prentice Hall
ISBN: 9780133558920
Category : Business & Economics
Languages : en
Pages : 176
Get Book Here
Book Description
Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
Author: John D. Levendis
Publisher: Springer
ISBN: 3319982826
Category : Business & Economics
Languages : en
Pages : 409
Get Book Here
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: Anindya Banerjee
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages :
Get Book Here
Book Description
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 1118727231
Category : Business & Economics
Languages : en
Pages : 433
Get Book Here
Book Description
An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Author: Katarina Juselius
Publisher: MDPI
ISBN: 3038429554
Category : Business & Economics
Languages : en
Pages : 219
Get Book Here
Book Description
This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics
