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Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)
Download or read book Cointegration, Exogeneity, and Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book Exogeneity, Cointegration, and Economic Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1998 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Special Section on Exogeneity, Cointegration, and Economic Policy Analysis written by Neil R. Ericsson and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Davide Pettenuzzo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis written by Davide Pettenuzzo and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 2 pages
Book Rating : 4.:/5 (16 download)
Download or read book Cointegration, exogeneity, and policy analyis written by Neil R. Ericsson and published by . This book was released on 1992 with total page 2 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David F. Hendry
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (43 download)
Download or read book Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK written by David F. Hendry and published by . This book was released on 1998 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Enrique Moral-Benito
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book Testing Weak Exogeneity in Cointegrated Panels written by Enrique Moral-Benito and published by . This book was released on 2017 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: For reason of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explicitly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest. This paper proposes a new test of weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity.The paper evaluates the accuracy of the asymptotic approximation in finite samples via simulation experiments. Finally, as an empirical illustration, the paper reports tests of weak exogeneity of disposable income and wealth in an aggregate consumption equation.
Author : David F. Hendry
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (43 download)
Download or read book Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK written by David F. Hendry and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Halbert White
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296836
Total Pages : 512 pages
Book Rating : 4.2/5 (968 download)
Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author : Gebhard Kirchgässner
Publisher : Springer Science & Business Media
ISBN 13 : 3642334369
Total Pages : 326 pages
Book Rating : 4.6/5 (423 download)
Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2012-10-08 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Author : Neil R. Ericsson
Publisher :
ISBN 13 : 9780198774044
Total Pages : 436 pages
Book Rating : 4.7/5 (74 download)
Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Author : H. Peter Boswijk
Publisher :
ISBN 13 : 9789051701760
Total Pages : 166 pages
Book Rating : 4.7/5 (17 download)
Download or read book Cointegration, Identification, and Exogeneity written by H. Peter Boswijk and published by . This book was released on 1992 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Hunter
Publisher : Springer
ISBN 13 : 113731303X
Total Pages : 508 pages
Book Rating : 4.1/5 (373 download)
Download or read book Multivariate Modelling of Non-Stationary Economic Time Series written by John Hunter and published by Springer. This book was released on 2017-05-08 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Author : S. Burke
Publisher : Springer
ISBN 13 : 0230005780
Total Pages : 253 pages
Book Rating : 4.2/5 (3 download)
Download or read book Modelling Non-Stationary Economic Time Series written by S. Burke and published by Springer. This book was released on 2005-06-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Author : B Bhaskara Rao (Ed.)
Publisher : Allied Publishers
ISBN 13 : 9788170237211
Total Pages : 254 pages
Book Rating : 4.2/5 (372 download)
Download or read book Cointegration For The Applied Economist written by B Bhaskara Rao (Ed.) and published by Allied Publishers. This book was released on 1997 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Søren Johansen
Publisher : Oxford University Press, USA
ISBN 13 : 0198774508
Total Pages : 280 pages
Book Rating : 4.1/5 (987 download)
Download or read book Likelihood-based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author : Badi H. Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 047099830X
Total Pages : 736 pages
Book Rating : 4.4/5 (79 download)
Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
