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Author: Robert M. Kunst
Publisher:
ISBN:
Category : Seasonal variations (Economics)
Languages : de
Pages : 60
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Book Description
Author: Robert M. Kunst
Publisher:
ISBN:
Category : Seasonal variations (Economics)
Languages : de
Pages : 60
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Book Description
Author: Robert M. Kunst
Publisher:
ISBN:
Category : Europe
Languages : en
Pages : 78
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Author: Gilles Dufrénot
Publisher: Springer Science & Business Media
ISBN: 1475736150
Category : Business & Economics
Languages : en
Pages : 319
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Book Description
This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Author: Kirstin Hubrich
Publisher: Physica
ISBN: 9783642998157
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
With the decision of the European Central Bank to assign a prominent role to a monetary aggregate in its policy strategy, it is essential to further understand the policy of monetary targeting of the German Bundesbank and the conditions under which it succeeded. The focus of the empirical analysis is on long-run monetary relationships. A small sample simulation analysis compares the size and power properties of a broad range of systems cointegration tests. The results determine the methods chosen for the cointegration analysis of a small system of macroeconomic variables for Germany. Three stable long-run economic relationships are found which are of major interest for the conduct and transmission of monetary policy in Germany. With the stability of the long-run money demand relation one precondition for the monetary targeting strategy of the Bundesbank is fulfilled. The analysis accounts for the structural break of German reunification and examines the robustness of the empirical results.
Author: Robert M. Kunst
Publisher:
ISBN:
Category : Time-series analysis
Languages : en
Pages : 58
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Category : Business & Economics
Languages : en
Pages : 247
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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: Paul Söderlind
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Author: Gawon Yoon
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 272
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Book Description
Author: Steinar Strøm
Publisher: Cambridge University Press
ISBN: 9780521633239
Category : Business & Economics
Languages : en
Pages : 514
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Book Description
Table of Contents
