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Author : Niels Haldrup
Publisher :
ISBN 13 :
Total Pages : 181 pages
Book Rating : 4.:/5 (468 download)
Download or read book Essays on the Estimation and Inference in Non-stationary Time Series Models written by Niels Haldrup and published by . This book was released on 1996 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Niels Haldrup
Publisher :
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (753 download)
Download or read book Essays on the Estimation and Interference in Non-stationary Time Series Models written by Niels Haldrup and published by . This book was released on 1996 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Siyan Wang
Publisher :
ISBN 13 :
Total Pages : 161 pages
Book Rating : 4.:/5 (612 download)
Download or read book Two Essays on Time Series Econometrics: Multiple Time Series Analysis of the Asian Crisis and Estimation and Inference of the Nonstationary Structural Vector Autoregressive Model written by Siyan Wang and published by . This book was released on 2001 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Siyan Wang
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 (516 download)
Download or read book Two Essays on the Time Series Econometrics written by Siyan Wang and published by . This book was released on 2001 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas B. Fomby
Publisher : Emerald Group Publishing
ISBN 13 : 1784411825
Total Pages : 772 pages
Book Rating : 4.7/5 (844 download)
Download or read book Essays in Honor of Peter C. B. Phillips written by Thomas B. Fomby and published by Emerald Group Publishing. This book was released on 2014-11-21 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
Author : Yan Liu
Publisher : Springer Nature
ISBN 13 : 9819908035
Total Pages : 591 pages
Book Rating : 4.8/5 (199 download)
Download or read book Research Papers in Statistical Inference for Time Series and Related Models written by Yan Liu and published by Springer Nature. This book was released on 2023-05-31 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Author : Tian Tian Qiu
Publisher :
ISBN 13 :
Total Pages : 258 pages
Book Rating : 4.:/5 (275 download)
Download or read book Estimation and Inference Under Non-stationarity written by Tian Tian Qiu and published by . This book was released on 2008 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: For example, t-statistic normalized by the consistent kernel estimator of Andrews (1991) provides valid inference under our unconditional heteroskedasticity model and the conservative t-test of Ibragimov and Muller (2006) is valid under both heteroskedasticity and persistent stochastic volatility models. The third essay detects the presence of structural breaks, in the form of mean shifts, in the implied and realized volatilities of S & P 500 returns. When studying the information content of option implied volatility, predictive regressions of future realized volatility using implied volatility are often performed. Since regression inference is strongly affected by presence of mean shifts, as indicated in the first essay, standard regressions should not be used here. We perform robust regressions that can accommodate the breaks in the series. While standard predictive regressions support the unbiasedness and efficiency of the implied volatility, as measured by the VIX index here, as a forecast of future realized volatility, the robust regressions lead to different conclusions. It is shown that the VIX was once a biased forecast, but its performance improves as time goes on. The whole sample results are unreliable due to structural breaks that bias up the OLS estimate. The improvement of VIX's forecasting ability over time may be a result of the market's adaption to the better use of options and the improved efficiency and liquidity of the index options market.
Author : Yan Liu
Publisher : Springer
ISBN 13 : 9789819908059
Total Pages : 0 pages
Book Rating : 4.9/5 (8 download)
Download or read book Research Papers in Statistical Inference for Time Series and Related Models written by Yan Liu and published by Springer. This book was released on 2024-06-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Author : Jungick Lee
Publisher :
ISBN 13 :
Total Pages : 114 pages
Book Rating : 4.:/5 (739 download)
Download or read book Three Essays on Nonstationary Time Series and GMM Estimation written by Jungick Lee and published by . This book was released on 2010 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Three essays in this dissertation focus on developing new statistical methodologies to address some issues arising in applied econometrics literature. The first two essays concern issues involving the exponential of an integrated series, while the third essay proposes a GMM-type estimation that is robust to the presence of misspecified moment conditions.
Author : T. Subba Rao
Publisher : CRC Press
ISBN 13 : 9780412492600
Total Pages : 466 pages
Book Rating : 4.4/5 (926 download)
Download or read book Developments in Time Series Analysis written by T. Subba Rao and published by CRC Press. This book was released on 1993-07-01 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains 27 papers, written by time series analysts, dealing with statistical theory, methodology and applications. The emphasis is on the recent developments in the analysis of linear, onlinear (non-Gaussian), stationary and nonstationary time series. The topics include cointegration, estimation and asymptotic theory, Kalman filtering, nonparametric statistical inference, long memory models, nonlinear models, spectral analysis of stationary and nonstationary processes. Quite a number of papers are devoted to modelling and analysis of real time series, and the econometricians, mathematical statisticians, communications engineers and scientists who use time series techniques and Fourier analysis should find the papers in this volume useful.
Author :
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (945 download)
Download or read book Three Essays on Nonstationary Time Series Analysis written by and published by . This book was released on 2014 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Financial and macroeconomic time series data are often nonstationary. My dissertation consists of three essays concerning time series models with nonstationarity. Chapter 1 develops a new jackknife estimator for nonstationary autoregressive model. The remaining two chapters explore the restricted maximum likelihood (REML hereafter) estimation and the restricted maximum likelihood based likelihood ratio test (RLRT hereafter) in predictive regression...."--Author's abstract.
Author : Emre Aylar
Publisher :
ISBN 13 :
Total Pages : 83 pages
Book Rating : 4.:/5 (893 download)
Download or read book Essays on Time Series Econometrics written by Emre Aylar and published by . This book was released on 2014 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on the construction of statistical tests to differentiate stationary and non-stationary time series. Chapter 1 deals with non-stationarity induced by a broken trend function and considers testing for the presence of a structural break in the trend of a univariate time-series where the date of the break is unknown. The proposed tests are robust as to whether the shocks are generated by a stationary or an integrated process. The simulation results suggest that the robust tests perform well in small samples, showing good size control and displaying very decent power regardless of the degree of persistence of the data. Chapter 2 proposes a bootstrap stationarity test that has good size control and also retains power. The test utilizes a parametric bootstrap re-sampling scheme that can generate independent re-samples and impose the null constraint on the bootstrap samples. The empirical size and power performance of the proposed test is compared with the existing bootstrap and conventional stationarity tests through Monte-Carlo studies. Simulations demonstrate that the proposed bootstrap test controls size better and has higher power than the competing methods. Finally, chapter 3 considers the initial condition problem in unit root testing and develops a powerful unit root test robust to initial condition. The proposed method estimates the trend parameters using indirect inference and results show that the proposed test statistic is robust to initial condition.
Author : Niels Haldrup
Publisher : Oxford University Press, USA
ISBN 13 : 0199679959
Total Pages : 393 pages
Book Rating : 4.1/5 (996 download)
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by Oxford University Press, USA. This book was released on 2014-05 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Author : Maurice Bertram Priestley
Publisher :
ISBN 13 :
Total Pages : 250 pages
Book Rating : 4.:/5 (319 download)
Download or read book Non-linear and Non-stationary Time Series Analysis written by Maurice Bertram Priestley and published by . This book was released on 1988 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yoosoon Chang
Publisher : Emerald Group Publishing
ISBN 13 : 1837532087
Total Pages : 406 pages
Book Rating : 4.8/5 (375 download)
Download or read book Essays in Honor of Joon Y. Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Author : Jiti Gao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Inference on Nonstationary Time Series with Moving Mean written by Jiti Gao and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexander Chudik
Publisher : Emerald Group Publishing
ISBN 13 : 1802620672
Total Pages : 320 pages
Book Rating : 4.8/5 (26 download)
Download or read book Essays in Honor of M. Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
