Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Conditional And Structural Error Correction Models full books in PDF, epub, and Kindle. Read online Conditional And Structural Error Correction Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Neil R. Ericsson
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book Conditional and Structural Error Correction Models written by Neil R. Ericsson and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Herman Peter Boswijk
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (691 download)
Download or read book Testing for an Unstable Root in Conditional and Structural Error Correction Models written by Herman Peter Boswijk and published by . This book was released on 1992 with total page 26 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 : Jaebeom Kim
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Structural Error Correction Models written by Jaebeom Kim and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eric Zivot
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (86 download)
Download or read book Single Equation Conditional Error Correction Model Based Tests for Cointegrat written by Eric Zivot and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. Hashem Pesaran
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (431 download)
Download or read book Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables written by M. Hashem Pesaran and published by . This book was released on 1997 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Helmut Lütkepohl
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models written by Helmut Lütkepohl and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Soren Johansen
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (227 download)
Download or read book The Mathematical Structure of Error Correction Models written by Soren Johansen and published by . This book was released on 1985 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The error correction model for a vector valued time series has been proposed and applied in the economic literature with the papers by Sargan (1964), Davidson et al. (1978), Hendry and von Ungern-Sternberg (1981) and has been given a formal mathematical treatment by Granger (1983). He introduced the notion of cointegratedness of a vector process and showed the relation between cointegration and error correction models. This paper defines a general error correction model, that encompasses the usual error correction model as well as the integral correction model by allowing a finite number of error correction terms which correspond to linear combinations of the vector process that are integrated of different order. It is shown that this structure is inherent in the model if it is given in autoregressive form or moving average form by exploiting the singularity of the matrix function that defines the model. The theory is applied to some examples discussed by Davidson (1983) and Harvey (1982). (Author).
Author : Kyungho Jang
Publisher :
ISBN 13 :
Total Pages : 214 pages
Book Rating : 4.:/5 (56 download)
Download or read book Three Essays on Structural Vector Error Correction Models with Short-run and Long-run Restrictions written by Kyungho Jang and published by . This book was released on 2002 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Impulse response analysis requires the imposition of restrictions on the estimated system in order to identify a shock. Short-run restrictions such that monetary policy does not contemporaneously affect real Gross Domestic Production have been often used. Many economic models, however, imply long-run relations among economic variables (or long-run restrictions such that monetary policy does not affect output in the long period) rather than short-run restrictions. Therefore, empirical results based on long-run restrictions may be more consistent with economic theory than those based on short-run restrictions.
Author : Olaf Hübler
Publisher : Springer Science & Business Media
ISBN 13 : 3540326936
Total Pages : 236 pages
Book Rating : 4.5/5 (43 download)
Download or read book Modern Econometric Analysis written by Olaf Hübler and published by Springer Science & Business Media. This book was released on 2007-04-29 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author : Gebhard Kirchgässner
Publisher : Springer Science & Business Media
ISBN 13 : 9783540687351
Total Pages : 288 pages
Book Rating : 4.6/5 (873 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 2008-08-27 with total page 288 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. It contains the most important approaches to analyze time series which may be stationary or nonstationary.
Author : Engelbert Plassmann
Publisher : Springer Science & Business Media
ISBN 13 : 3642573363
Total Pages : 209 pages
Book Rating : 4.6/5 (425 download)
Download or read book Econometric Modelling of European Money Demand written by Engelbert Plassmann and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The introduction of a single European currency constitutes a remarkable instance of internationalization of monetary policy. Whether a concomitant internationalization can be detected also in the econometric foundations of monetary policy is the topic dealt with in this book. The basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation. The empirical result is a data-consistent structural money demand function isolated within a properly identified, dynamic macroeconomic system for Europe. The book itself evolved from a research project within the former Son derforschungsbereich SFB 178 "Internationalization of the Economy" at the University of Konstanz. Its finalization entails a due amount of gratitude to be extended into several directions: I am personally indebted, first of all, to my academic supervisor, Professor Dr. Nikolaus Laufer, for originally inspiring this work and for meticulously perusing its eventual result. Professor Dr. Win fried Pohlmeier, as a second supervisor, provided valuable confidence bounds around an earlier draft. The comments of both supervisors contributed substantially to the present shape of the book. I am institutionally indebted to the University of Konstanz, notably its Faculty of Economics and Statistics, for continuous provision of an excellent research environment, and to the Deutsche Forschungsgemeinschaft in Bonn for generous sponsorship of the former SFB, whose financial support dur ing that period is gratefully acknowledged. I am also indebted to Dresdner Bank AG Frankfurt, Risk Methodology Trading, for benign tolerance of all distractions associated with the preparation of the final manuscript.
Author : Helmut Lütkepohl
Publisher : Cambridge University Press
ISBN 13 : 1139454730
Total Pages : 351 pages
Book Rating : 4.1/5 (394 download)
Download or read book Applied Time Series Econometrics written by Helmut Lütkepohl and published by Cambridge University Press. This book was released on 2004-08-02 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Author : Jean-Pierre Florens
Publisher : Cambridge University Press
ISBN 13 : 1139466771
Total Pages : 17 pages
Book Rating : 4.1/5 (394 download)
Download or read book Econometric Modeling and Inference written by Jean-Pierre Florens and published by Cambridge University Press. This book was released on 2007-07-02 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.
Author : British Library of Political and Economic Science at the London School of Economics
Publisher : Psychology Press
ISBN 13 : 9780415127837
Total Pages : 658 pages
Book Rating : 4.1/5 (278 download)
Download or read book International Bibliography of Economics 1994 written by British Library of Political and Economic Science at the London School of Economics and published by Psychology Press. This book was released on 1995 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IBSS is the essential tool for librarians, university departments, research institutions and any public or private institutions whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Author : Lance A. Fisher
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Identification Methods in Vector-Error Correction Models written by Lance A. Fisher and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a structural vector-error correction (VEC) model, it is possible to decompose the shocks into those with permanent and transitory effects on the levels of the variables. Pagan and Pesaran derive the restrictions which the permanent-transitory decomposition of the shocks imposes on the structural VEC model. This paper shows that these restrictions are equivalent to a set of restrictions that are applied in the methods of Gonzalo and Ng and King et al. (KPSW). Using this result, it is shown that the Pagan and Pesaran method can be used to recover the structural shocks with permanent effects identically to those from the Gonzalo and Ng and KPSW methods. In the former case, this is illustrated in the context of Lettau and Ludvigson's consumption model and in the latter case in KPSW's six variable model. There are also two other methods for which the Pagan and Pesaran approach can deliver identical permanent shocks which are also discussed.
Author : Samuel Karlin
Publisher : Academic Press
ISBN 13 : 1483268039
Total Pages : 591 pages
Book Rating : 4.4/5 (832 download)
Download or read book Studies in Econometrics, Time Series, and Multivariate Statistics written by Samuel Karlin and published by Academic Press. This book was released on 2014-05-10 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson’s probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
