Author: Joakim Westerlund
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
First-differencing is generally taken to imply the loss of one observation, the first, or at least that the effect of ignoring this observation is asymptotically negligible. However, this is not always true, as in the case of generalized least squares (GLS) detrending. In order to illustrate this, the current article considers as an example the use of GLS detrended data when testing for a unit root. The results show that the treatment of the first observation is absolutely crucial for test performance, and that ignorance causes test break-down.
On the Importance of the First Observation in GLS Detrending in Unit Root Testing
Author: Joakim Westerlund
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
First-differencing is generally taken to imply the loss of one observation, the first, or at least that the effect of ignoring this observation is asymptotically negligible. However, this is not always true, as in the case of generalized least squares (GLS) detrending. In order to illustrate this, the current article considers as an example the use of GLS detrended data when testing for a unit root. The results show that the treatment of the first observation is absolutely crucial for test performance, and that ignorance causes test break-down.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
First-differencing is generally taken to imply the loss of one observation, the first, or at least that the effect of ignoring this observation is asymptotically negligible. However, this is not always true, as in the case of generalized least squares (GLS) detrending. In order to illustrate this, the current article considers as an example the use of GLS detrended data when testing for a unit root. The results show that the treatment of the first observation is absolutely crucial for test performance, and that ignorance causes test break-down.
GLS Detrending and the Power of Unit Root and Stationarity Tests
Author: Jaeyoun Hwang
Publisher:
ISBN:
Category : Time-series analysis
Languages : en
Pages : 256
Book Description
Publisher:
ISBN:
Category : Time-series analysis
Languages : en
Pages : 256
Book Description
Unit Root Tests in Time Series Volume 1
Author: K. Patterson
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
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.
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
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.
A Primer for Unit Root Testing
Author: K. Patterson
Publisher: Springer
ISBN: 0230248454
Category : Business & Economics
Languages : en
Pages : 301
Book Description
This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.
Publisher: Springer
ISBN: 0230248454
Category : Business & Economics
Languages : en
Pages : 301
Book Description
This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.
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.
GLS Detrending for Nonlinear Unit Root Tests
Author: G. Kapetanios
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Handbook of Research Methods and Applications in Empirical Macroeconomics
Author: Nigar Hashimzade
Publisher: Edward Elgar Publishing
ISBN: 0857931024
Category : Business & Economics
Languages : en
Pages : 627
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.
Publisher: Edward Elgar Publishing
ISBN: 0857931024
Category : Business & Economics
Languages : en
Pages : 627
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.
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
Introduction to Statistical Time Series
Author: Wayne A. Fuller
Publisher: John Wiley & Sons
ISBN: 0470317752
Category : Mathematics
Languages : en
Pages : 734
Book Description
The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Publisher: John Wiley & Sons
ISBN: 0470317752
Category : Mathematics
Languages : en
Pages : 734
Book Description
The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Journal of Econometrics
Author:
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 424
Book Description
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 424
Book Description