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Author : Roselyne Joyeux
Publisher :
ISBN 13 : 9781864086492
Total Pages : 11 pages
Book Rating : 4.0/5 (864 download)
Download or read book How to Deal with Structural Breaks in Practical Cointegration Analysis written by Roselyne Joyeux and published by . This book was released on 2001 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Julia Campos
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (318 download)
Download or read book Cointegration Tests in the Presence of Structural Breaks written by Julia Campos and published by . This book was released on 1993 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maxym Chaban
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Cointegration Analysis with Structural Breaks and Deterministic Trends written by Maxym Chaban and published by . This book was released on 2011 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyze the relationship between the real Canada-U.S. exchange rate and commodity prices. Previous empirical studies disagree on whether these variables are cointegrated. The root of disagreement could be in the handling of deterministic trends and potential structural breaks. I find that even after controlling for these matters the question of whether the real exchange rate and commodity prices are cointegrated for Canada remains unresolved.
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 : Pierre Perron
Publisher : MDPI
ISBN 13 : 3038428116
Total Pages : 167 pages
Book Rating : 4.0/5 (384 download)
Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
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 : Poomthan Rangkakulnuwat
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (643 download)
Download or read book Three Essays in Application of Cointegration Analysis with Exogenous Variables and Structural Breaks written by Poomthan Rangkakulnuwat and published by . This book was released on 2005 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Josep Lluís Carrion-i-Silvestre
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing the Null of Cointegration with Structural Breaks written by Josep Lluís Carrion-i-Silvestre and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non-cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.
Author : Wang, John
Publisher : IGI Global
ISBN 13 : 1466652039
Total Pages : 2862 pages
Book Rating : 4.4/5 (666 download)
Download or read book Encyclopedia of Business Analytics and Optimization written by Wang, John and published by IGI Global. This book was released on 2014-02-28 with total page 2862 pages. Available in PDF, EPUB and Kindle. Book excerpt: As the age of Big Data emerges, it becomes necessary to take the five dimensions of Big Data- volume, variety, velocity, volatility, and veracity- and focus these dimensions towards one critical emphasis - value. The Encyclopedia of Business Analytics and Optimization confronts the challenges of information retrieval in the age of Big Data by exploring recent advances in the areas of knowledge management, data visualization, interdisciplinary communication, and others. Through its critical approach and practical application, this book will be a must-have reference for any professional, leader, analyst, or manager interested in making the most of the knowledge resources at their disposal.
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.
Download or read book Tests for Cointegration with Structural Breaks Based on Subsamples written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Panel Cointegration with Multiple Structural Breaks written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Berhan Coban
Publisher :
ISBN 13 : 9783659825668
Total Pages : 76 pages
Book Rating : 4.8/5 (256 download)
Download or read book Comparing Cointegration Tests in Presence of Structural Breaks written by Berhan Coban and published by . This book was released on 2017-05-06 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bruce S. Felmingham
Publisher :
ISBN 13 : 9781862952447
Total Pages : 32 pages
Book Rating : 4.9/5 (524 download)
Download or read book Tests for RIP Among the G7 when Structural Breaks are Accommodated written by Bruce S. Felmingham and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Spurious Cointegration written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joakim Westerlund
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book New Improved Tests for Cointegration with Structural Breaks written by Joakim Westerlund and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The limiting distributions of the test statistics are derived, and are found to be invariant not only with respect to the trend and structural break, but also with respect to the regressors. A small Monte Carlo study is also conducted to investigate the small-sample properties of the tests. The results reveal that the tests have small size distortions and good power relative to other tests.
Author : Joakim Westerlund
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book A Simple Test for Cointegration in Dependent Panels with Structural Breaks written by Joakim Westerlund and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. A small simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.
