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Author : Yoosoon Chang
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (247 download)
Download or read book Bootstrap Unit Root Tests in Panels with Cross-sectional Dependency written by Yoosoon Chang and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mario Cerrato
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (5 download)
Download or read book A Bootstrap Panel Unit Root Test Under Cross Section Dependence, with an Application to PPP written by Mario Cerrato and published by . This book was released on 2006 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Panchanan Das
Publisher : Springer Nature
ISBN 13 : 9813290196
Total Pages : 565 pages
Book Rating : 4.8/5 (132 download)
Download or read book Econometrics in Theory and Practice written by Panchanan Das and published by Springer Nature. This book was released on 2019-09-05 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
Author : Xuguang Simon Sheng
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Truncated Product Methods for Panel Unit Root Tests written by Xuguang Simon Sheng and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes two new panel unit root tests based on Zaykin et al. (2002)'s truncated product method. The first one assumes constant correlation between P-values and the second one uses sieve bootstrap to allow for general forms of cross-section dependence in the panel units. Monte Carlo simulation shows that both tests have reasonably good size and are powerful in cases of some very large P-values. The proposed tests are applied to a panel of real GDP and inflation density forecasts, resulting in evidence that professional forecasters may not update their forecast precision in an optimal Bayesian way.
Author : Lászlo Mátyás
Publisher : Springer Science & Business Media
ISBN 13 : 3540758925
Total Pages : 966 pages
Book Rating : 4.5/5 (47 download)
Download or read book The Econometrics of Panel Data written by Lászlo Mátyás and published by Springer Science & Business Media. This book was released on 2008-04-06 with total page 966 pages. Available in PDF, EPUB and Kindle. Book excerpt: This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
Author : P. C. B. Phillips
Publisher : Cambridge University Press
ISBN 13 : 9780521807234
Total Pages : 390 pages
Book Rating : 4.8/5 (72 download)
Download or read book Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.
Author : Mehmet Terzioğlu
Publisher : BoD – Books on Demand
ISBN 13 : 1839624868
Total Pages : 339 pages
Book Rating : 4.8/5 (396 download)
Download or read book Linear and Non-Linear Financial Econometrics written by Mehmet Terzioğlu and published by BoD – Books on Demand. This book was released on 2021-03-17 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.
Author : M. Hashem Pesaran
Publisher : Oxford University Press
ISBN 13 : 0191058475
Total Pages : 1443 pages
Book Rating : 4.1/5 (91 download)
Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015-10-01 with total page 1443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Author : Angeliki Menegaki
Publisher : Academic Press
ISBN 13 : 012819040X
Total Pages : 336 pages
Book Rating : 4.1/5 (281 download)
Download or read book A Guide to Econometric Methods for the Energy-Growth Nexus written by Angeliki Menegaki and published by Academic Press. This book was released on 2020-11-10 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Guide to Econometric Methods for the Energy-Growth Nexus presents, explains and compares all the available econometrics methods pertinent to the energy-growth nexus. Chapters cover methods and applications, starting with older econometric methods and moving toward new ones. Each chapter presents the method and facts about its applications, providing step-by-step explanations about the ways the method meets the demands of the field. In addition, applied case studies and practical research steps are included to enhance the learning process. By touching on all relevant econometric methods for the energy-growth nexus, this book gives energy-growth researchers and students all they need to tackle the subject matter. Presents econometric methods for short- and long-term forecasting Provides methods and step-by-step explanations on the ways the method meets the demands of the field Contains applied case studies and practical research steps
Author : Banasri Basu
Publisher : Springer Science & Business Media
ISBN 13 : 8847015014
Total Pages : 394 pages
Book Rating : 4.8/5 (47 download)
Download or read book Econophysics & Economics of Games, Social Choices and Quantitative Techniques written by Banasri Basu and published by Springer Science & Business Media. This book was released on 2010-06-01 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: The combined efforts of the Physicists and the Economists in recent years in analyzing and modelling various dynamic phenomena in monetary and social systems have led to encouraging developments, generally classified under the title of Econophysics. These developments share a common ambition with the already established field of Quantitative Economics. This volume intends to offer the reader a glimpse of these two parallel initiatives by collecting review papers written by well-known experts in the respective research frontiers in one cover. This massive book presents a unique combination of research papers contributed almost equally by Physicists and Economists. Additional contributions from Computer Scientists and Mathematicians are also included in this volume. The book consists of two parts: the first part concentrates on Econophysics problems and the second part stresses on various quantitative issues in Economics. Both parts specialize on frontier problems in Games and Social Choices.
Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128144319
Total Pages : 432 pages
Book Rating : 4.1/5 (281 download)
Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-19 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Author : In Choi
Publisher : Cambridge University Press
ISBN 13 : 1107097339
Total Pages : 301 pages
Book Rating : 4.1/5 (7 download)
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.
Author : Laszlo Konya
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Panel Data Unit Root Tests with an Application written by Laszlo Konya and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using several different unit root/stationarity tests on single time series Konya (2000) found the logarithm of real GDP of most OECD countries behaving as a random walk during the last four decades. This outcome, however, might be due to the generally low power of these tests. The aim of this paper is to reconsider this issue by exploiting the extra information provided by the combination of the time-series and cross-sectional data and the subsequent power advantages of panel data unit root tests. We apply the tests advocated by Levin and Lin (1993), Im, Pesaran and Shin (1997) and Maddala and Wu (1999). The joint unit root null hypothesis cannot be rejected for the whole panel, however, after having dropped the least likely stationary series from the panel, the Im, Pesaran and Shin (1997) and Maddala and Wu (1999) tests can reject the null for the remaining sub-panels. Since these tests are not valid under cross-correlated error terms, we repeat them with data specific bootstrap critical values taking contemporaneous cross-correlation into account. This way, both tests can reject the unit root null hypothesis even for the whole panel. Yet, they cannot suggest how many and which particular panel members are stationary, so these results are not really informative. For this reason finally we apply the unit root test of Breuer, McNown and Wallace (1999) with bootstrap critical values. This procedure makes use of the panel data setting and seemingly unrelated regressions, but performs separate unit-root tests on each panel member. The results are markedly different from the conventional univariate Dickey-Fuller test results, and they support trend stationarity in the case of four countries: Australia, Japan, the Netherlands and Switzerland.
Author : Hyungsik Roger Moon
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing for a Unit Root in Panels with Dynamic Factors written by Hyungsik Roger Moon and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. We propose unit root tests in this environment and derive their (Gaussian) asymptotic distribution under the null hypothesis of a unit root and local alternatives. We also show that these tests have no power against the same local alternatives when it is necessary to remove deterministic components. Through Monte Carlo simulations, we provide evidence on the finite sample properties of these new tests.
Author : Kristian Jo̊nsson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Cross-sectional Dependency and Size Distortion in a Small-sample Homogeneous Panel-data Unit Root Test written by Kristian Jo̊nsson and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Macarena Hernández Salmerón
Publisher : Springer
ISBN 13 : 3319136356
Total Pages : 80 pages
Book Rating : 4.3/5 (191 download)
Download or read book Convergence in Output and Its Sources Among Industrialised Countries written by Macarena Hernández Salmerón and published by Springer. This book was released on 2014-12-27 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book investigates the existence of stochastic and deterministic convergence of real output per worker and the sources of output (physical capital per worker, human capital per worker, total factor productivity –TFP– and average annual hours worked) in 21 OECD countries over the period 1970-2011. Towards this end, the authors apply a large battery of panel unit root and stationarity tests, all of which are robust to the presence of cross-sectional dependence. The evidence fails to provide clear-cut evidence of convergence dynamics either in real GDP per worker or in the series of the sources of output. Due to some limitations associated with second-generation panel unit root and stationarity tests, the authors further use the more flexible PANIC approach which provides evidence that real GDP per worker, real physical capital per worker, human capital and average annual hours exhibit some degree of deterministic convergence, whereas TFP series display a high degree of stochastic convergence.
Author :
Publisher : Varna University of Management
ISBN 13 :
Total Pages : 165 pages
Book Rating : 4./5 ( download)
Download or read book European Journal of Tourism Research written by and published by Varna University of Management. This book was released on with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: The European Journal of Tourism Research is an academic journal in the field of tourism, published by Varna University of Management, Bulgaria. Its aim is to provide a platform for discussion of theoretical and empirical problems in tourism. Publications from all fields, connected with tourism such as tourism management, tourism marketing, sociology, psychology, tourism geography, political sciences, mathematics, tourism statistics, tourism anthropology, culture, information technologies in tourism and others are invited. The journal is open to all researchers. Young researchers and authors from Central and Eastern Europe are encouraged to submit their contributions. Regular Articles in the European Journal of Tourism Research should normally be between 4 000 and 20 000 words. Major research articles of between 10 000 and 20 000 are highly welcome. Longer or shorter papers will also be considered. The journal publishes also Research Notes of 1 500 – 2 000 words. Submitted papers must combine theoretical concepts with practical applications or empirical testing. The European Journal of Tourism Research includes also the following sections: Book Reviews, announcements for Conferences and Seminars, abstracts of successfully defended Doctoral Dissertations in Tourism, case studies of Tourism Best Practices. The European Journal of Tourism Research is published in three Volumes per year. The full text of the European Journal of Tourism Research is available in the following databases: EBSCO Hospitality and Tourism Complete; CABI Leisure, Recreation and Tourism; ProQuest Research Library Individual articles can be rented via journal's page at DeepDyve. The journal is indexed in Scopus and Clarivate Analytics' Emerging Sources Citation Index. The editorial team welcomes your submissions to the European Journal of Tourism Research.
