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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 : Jean-Pierre Urbain
Publisher : Springer Science & Business Media
ISBN 13 : 3642957064
Total Pages : 201 pages
Book Rating : 4.6/5 (429 download)
Download or read book Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
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 : 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 : 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 : Richard I. D. Harris
Publisher : Prentice Hall
ISBN 13 : 9780133558920
Total Pages : 176 pages
Book Rating : 4.5/5 (589 download)
Download or read book Using Cointegration Analysis in Econometric Modelling written by Richard I. D. Harris and published by Prentice Hall. This book was released on 1995 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
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 : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)
Download or read book Unit Roots, Cointegration, and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author : Donald W. K. Andrews
Publisher : Cambridge University Press
ISBN 13 : 9780521844413
Total Pages : 606 pages
Book Rating : 4.8/5 (444 download)
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-06-17 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 collection pushed forward the research frontier in four areas of theoretical econometrics.
Author : Sau-Him Paul Lau
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (318 download)
Download or read book On the Validity and Identification of Long Run Restrictions for a Cointegrated System written by Sau-Him Paul Lau and published by . This book was released on 1995 with total page 24 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 : Michael McAleer
Publisher : Wiley-Blackwell
ISBN 13 : 9780631211983
Total Pages : 284 pages
Book Rating : 4.2/5 (119 download)
Download or read book Practical Issues in Cointegration Analysis written by Michael McAleer and published by Wiley-Blackwell. This book was released on 1999-08-03 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
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 : Enrique Moral-Benito
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (897 download)
Download or read book Testing Weak Exogeneity in Cointegrated Panels written by Enrique Moral-Benito and published by . This book was released on 2014 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"--Abstract.
Author : Katarina Juselius
Publisher : OUP Oxford
ISBN 13 : 0191622966
Total Pages : 478 pages
Book Rating : 4.1/5 (916 download)
Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author : David F. Hendry
Publisher :
ISBN 13 : 9780198283164
Total Pages : 918 pages
Book Rating : 4.2/5 (831 download)
Download or read book Dynamic Econometrics written by David F. Hendry and published by . This book was released on 1995 with total page 918 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. 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 : 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.
