A Primer for Unit Root Testing

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Publisher : Springer
ISBN 13 : 0230248454
Total Pages : 301 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis A Primer for Unit Root Testing by : K. Patterson

Download or read book A Primer for Unit Root Testing written by K. Patterson and published by Springer. This book was released on 2010-03-31 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

A Primer on Unit Root Testing

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Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis A Primer on Unit Root Testing by : J. M. Phillips

Download or read book A Primer on Unit Root Testing written by J. M. Phillips and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and all annotated bibliography are provided.

A Primer on Unit Root Testing

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Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis A Primer on Unit Root Testing by : Peter C. B. Phillips

Download or read book A Primer on Unit Root Testing written by Peter C. B. Phillips and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and all annotated bibliography are provided.

Unit Root Tests in Time Series Volume 1

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Author :
Publisher : Springer
ISBN 13 : 023029930X
Total Pages : 676 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Unit Root Tests in Time Series Volume 1 by : K. Patterson

Download or read book Unit Root Tests in Time Series Volume 1 written by K. Patterson and published by Springer. This book was released on 2011-02-25 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 on Unit Root Testing

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Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (247 download)

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Book Synopsis A Primer on Unit Root Testing by : P. C. B. Phillips

Download or read book A Primer on Unit Root Testing written by P. C. B. Phillips and published by . This book was released on 1998 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Unit Root Tests in Time Series Volume 2

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Author :
Publisher : Springer
ISBN 13 : 1137003316
Total Pages : 666 pages
Book Rating : 4.1/5 (37 download)

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Book Synopsis Unit Root Tests in Time Series Volume 2 by : K. Patterson

Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

Nonstationary Panels, Panel Cointegration, and Dynamic Panels

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Author :
Publisher : Elsevier
ISBN 13 : 0762306882
Total Pages : 351 pages
Book Rating : 4.7/5 (623 download)

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Book Synopsis Nonstationary Panels, Panel Cointegration, and Dynamic Panels by : Badi H. Baltagi

Download or read book Nonstationary Panels, Panel Cointegration, and Dynamic Panels written by Badi H. Baltagi and published by Elsevier. This book was released on 2000 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Modeling Financial Time Series with S-PLUS

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Publisher : Springer Science & Business Media
ISBN 13 : 0387217630
Total Pages : 632 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Modeling Financial Time Series with S-PLUS by : Eric Zivot

Download or read book Modeling Financial Time Series with S-PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Time-series-based Econometrics

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Publisher : Oxford University Press
ISBN 13 : 0198773536
Total Pages : 307 pages
Book Rating : 4.1/5 (987 download)

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Book Synopsis Time-series-based Econometrics by : Michio Hatanaka

Download or read book Time-series-based Econometrics written by Michio Hatanaka and published by Oxford University Press. This book was released on 1996 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examinesthose portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies.The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, butthat the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span.Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanakahas rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test.This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniquesmake the book a self-contained text for graduate students.

Unit Root Tests in Time Series Volume 2

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Author :
Publisher : Springer
ISBN 13 : 1137003316
Total Pages : 586 pages
Book Rating : 4.1/5 (37 download)

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Book Synopsis Unit Root Tests in Time Series Volume 2 by : K. Patterson

Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

Introduction to Statistical Time Series

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Publisher : John Wiley & Sons
ISBN 13 : 0470317752
Total Pages : 734 pages
Book Rating : 4.4/5 (73 download)

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Book Synopsis Introduction to Statistical Time Series by : Wayne A. Fuller

Download or read book Introduction to Statistical Time Series written by Wayne A. Fuller and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Statistical Power Analysis for the Behavioral Sciences

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Publisher : Routledge
ISBN 13 : 1134742770
Total Pages : 625 pages
Book Rating : 4.1/5 (347 download)

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Book Synopsis Statistical Power Analysis for the Behavioral Sciences by : Jacob Cohen

Download or read book Statistical Power Analysis for the Behavioral Sciences written by Jacob Cohen and published by Routledge. This book was released on 2013-05-13 with total page 625 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Power Analysis is a nontechnical guide to power analysis in research planning that provides users of applied statistics with the tools they need for more effective analysis. The Second Edition includes: * a chapter covering power analysis in set correlation and multivariate methods; * a chapter considering effect size, psychometric reliability, and the efficacy of "qualifying" dependent variables and; * expanded power and sample size tables for multiple regression/correlation.

The Refinement of Econometric Estimation and Test Procedures

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Publisher : Cambridge University Press
ISBN 13 : 9781107406247
Total Pages : 418 pages
Book Rating : 4.4/5 (62 download)

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Book Synopsis The Refinement of Econometric Estimation and Test Procedures by : Garry D. A. Phillips

Download or read book The Refinement of Econometric Estimation and Test Procedures written by Garry D. A. Phillips and published by Cambridge University Press. This book was released on 2012-08-09 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was first published in 2007. The small sample properties of estimators and tests are frequently too complex to be useful or are unknown. Much econometric theory is therefore developed for very large or asymptotic samples where it is assumed that the behaviour of estimators and tests will adequately represent their properties in small samples. Refined asymptotic methods adopt an intermediate position by providing improved approximations to small sample behaviour using asymptotic expansions. Dedicated to the memory of Michael Magdalinos, whose work is a major contribution to this area, this book contains chapters directly concerned with refined asymptotic methods. In addition, there are chapters focusing on new asymptotic results; the exploration through simulation of the small sample behaviour of estimators and tests in panel data models; and improvements in methodology. With contributions from leading econometricians, this collection will be essential reading for researchers and graduate students concerned with the use of asymptotic methods in econometric analysis.

A Primer on Scientific Programming with Python

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Publisher : Springer
ISBN 13 : 3662498871
Total Pages : 942 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis A Primer on Scientific Programming with Python by : Hans Petter Langtangen

Download or read book A Primer on Scientific Programming with Python written by Hans Petter Langtangen and published by Springer. This book was released on 2016-07-28 with total page 942 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book serves as a first introduction to computer programming of scientific applications, using the high-level Python language. The exposition is example and problem-oriented, where the applications are taken from mathematics, numerical calculus, statistics, physics, biology and finance. The book teaches "Matlab-style" and procedural programming as well as object-oriented programming. High school mathematics is a required background and it is advantageous to study classical and numerical one-variable calculus in parallel with reading this book. Besides learning how to program computers, the reader will also learn how to solve mathematical problems, arising in various branches of science and engineering, with the aid of numerical methods and programming. By blending programming, mathematics and scientific applications, the book lays a solid foundation for practicing computational science. From the reviews: Langtangen ... does an excellent job of introducing programming as a set of skills in problem solving. He guides the reader into thinking properly about producing program logic and data structures for modeling real-world problems using objects and functions and embracing the object-oriented paradigm. ... Summing Up: Highly recommended. F. H. Wild III, Choice, Vol. 47 (8), April 2010 Those of us who have learned scientific programming in Python ‘on the streets’ could be a little jealous of students who have the opportunity to take a course out of Langtangen’s Primer.” John D. Cook, The Mathematical Association of America, September 2011 This book goes through Python in particular, and programming in general, via tasks that scientists will likely perform. It contains valuable information for students new to scientific computing and would be the perfect bridge between an introduction to programming and an advanced course on numerical methods or computational science. Alex Small, IEEE, CiSE Vol. 14 (2), March /April 2012 “This fourth edition is a wonderful, inclusive textbook that covers pretty much everything one needs to know to go from zero to fairly sophisticated scientific programming in Python...” Joan Horvath, Computing Reviews, March 2015

Unit Roots and Structural Breaks

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Publisher :
ISBN 13 : 9783038428121
Total Pages : pages
Book Rating : 4.4/5 (281 download)

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Book Synopsis Unit Roots and Structural Breaks by : Pierre Perron

Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit Roots and Structural Breaks.

Almost All About Unit Roots

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Publisher : Cambridge University Press
ISBN 13 : 1107097339
Total Pages : 301 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Almost All About Unit Roots by : In Choi

Download or read book Almost All About Unit Roots written by In Choi and published by Cambridge University Press. This book was released on 2015-05-12 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

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Publisher : Springer
ISBN 13 : 1349235296
Total Pages : 247 pages
Book Rating : 4.3/5 (492 download)

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Book Synopsis Cointegration by : Bhaskara B. Rao

Download or read book Cointegration written by Bhaskara B. Rao and published by Springer. This book was released on 2016-07-27 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: `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.