Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Get Book Here
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
Get Book Here
Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
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: In-Moo Kim
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 196
Get Book Here
Book Description
Author: Luis Miguel Rainho Catela Nunes
Publisher:
ISBN:
Category :
Languages : en
Pages : 140
Get Book Here
Book Description
This thesis contains a discussion of three problems related to structural changes and unit-roots in time-series analysis. First, it is shown under which conditions it is possible to consistently estimate the break date in a model with one structural break. It is also shown that when the errors have a unit-root, it is possible to spuriously estimate a break when there is none. Second, the same issues are discussed with respect to estimating the number of breaks. Finally, it is considered the problem of testing for unit-roots in the presence of structural breaks. New evidence is presented for the Nelson-Plosser macroeconomic data that strongly weaken recent results that reject the unit-root hypothesis for these series.
Author: David H. Papell
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
In a classic paper, Nelson and Plosser could not reject the unit root hypothesis in favor of trend stationarity for 13 out of 14 long-term annual macro series. Subsequent studies, allowing for one or two structural changes, have found more rejections with a broken trend stationary alternative. Since these changes are defined to be permanent, the rejections do not provide evidence of trend stationarity. We propose new tests for a unit root in the presence of restricted structural change. Allowing for two offsetting structural changes, we reject the unit root null in favor of restricted trend stationarity for 6 out of 13 series.
Author: Peter Hackl
Publisher: Springer Science & Business Media
ISBN: 3662068249
Category : Business & Economics
Languages : en
Pages : 377
Get Book Here
Book Description
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Author: In Choi
Publisher: Cambridge University Press
ISBN: 1316300587
Category : Business & Economics
Languages : en
Pages : 301
Get Book Here
Book Description
Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.
Author: Paramsothy Silvapulle
Publisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 30
Get Book Here
Book Description
Author: Badi H. Baltagi
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351
Get Book Here
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.
