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Author : Hiroshi Yamada
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (362 download)
Download or read book Inference in Possibly Integrated Vector Autoregressive Models written by Hiroshi Yamada and published by . This book was released on 1996 with total page 36 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 : Soren Johansen
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.:/5 (473 download)
Download or read book Likelihood-Based Inference in Cointegrated Vector Autoregressive Models written by Soren Johansen and published by . This book was released on with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mattias Villani
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (642 download)
Download or read book Inference in Vector Autoregressive Models with an Informative Prior on the Steady State written by Mattias Villani and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Rosenthal, Stephen written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The folder may include clippings, announcements, small exhibition catalogs, and other ephemeral items.
Author : Danny Chow Shin Ng
Publisher :
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.:/5 (155 download)
Download or read book Granger Causality in Possibly Integrated Vector Autoregressive Models written by Danny Chow Shin Ng and published by . This book was released on 2000 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Aman Ullah
Publisher : CRC Press
ISBN 13 : 9780203911075
Total Pages : 754 pages
Book Rating : 4.9/5 (11 download)
Download or read book Handbook Of Applied Econometrics And Statistical Inference written by Aman Ullah and published by CRC Press. This book was released on 2002-01-29 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: Summarizing developments and techniques in the field, this reference covers sample surveys, nonparametric analysis, hypothesis testing, time series analysis, Bayesian inference, and distribution theory for applications in statistics, economics, medicine, biology, engineering, sociology, psychology, and information technology. It supplies a geometric proof of an extended Gauss-Markov theorem, approaches for the design and implementation of sample surveys, advances in the theory of Neyman's smooth test, and methods for pre-test and biased estimation. It includes discussions ofsample size requirements for estimation in SUR models, innovative developments in nonparametric models, and more.
Author : Michael Binder
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.:/5 (49 download)
Download or read book Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration written by Michael Binder and published by . This book was released on 2000 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Luc Bauwens
Publisher : OUP Oxford
ISBN 13 : 0191588466
Total Pages : 370 pages
Book Rating : 4.1/5 (915 download)
Download or read book Bayesian Inference in Dynamic Econometric Models written by Luc Bauwens and published by OUP Oxford. This book was released on 2000-01-06 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.
Author : Patrick T. Brandt
Publisher : SAGE
ISBN 13 : 1412906563
Total Pages : 121 pages
Book Rating : 4.4/5 (129 download)
Download or read book Multiple Time Series Models written by Patrick T. Brandt and published by SAGE. This book was released on 2007 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available. Key Features: * Offers a detailed comparison of different time series methods and approaches. * Includes a self-contained introduction to vector autoregression modeling. * Situates multiple time series modeling as a natural extension of commonly taught statistical models.
Author : Terence C. Mills
Publisher : Cambridge University Press
ISBN 13 : 9780521624923
Total Pages : 386 pages
Book Rating : 4.6/5 (249 download)
Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 1999-08-26 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides detailed coverage of the models currently being used in the empirical analysis of financial markets. Copyright © Libri GmbH. All rights reserved.
Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 9781461477495
Total Pages : 0 pages
Book Rating : 4.4/5 (774 download)
Download or read book Handbook of Financial Econometrics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2014-09-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Author : Alessandra Canepa
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783838314693
Total Pages : 172 pages
Book Rating : 4.3/5 (146 download)
Download or read book Inference in Cointegrated Var Models written by Alessandra Canepa and published by LAP Lambert Academic Publishing. This book was released on 2009-10 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is given to Johansen s maximum likelihood method for conducting inference on cointegrated VAR models. Throughout the book, empirical applications are provided to illustrate the bootstrap method and its applications. The analysis should provide some guidance to practitioners in doubt about which inference procedure to use when dealing with cointegrated VAR models.
Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author :
Publisher :
ISBN 13 :
Total Pages : 796 pages
Book Rating : 4.3/5 (555 download)
Download or read book Hitotsubashi Journal of Economics written by and published by . This book was released on 2005 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nigar Hashimzade
Publisher : Edward Elgar Publishing
ISBN 13 : 0857931024
Total Pages : 627 pages
Book Rating : 4.8/5 (579 download)
Download or read book Handbook of Research Methods and Applications in Empirical Macroeconomics written by Nigar Hashimzade and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.
Author : Jonas Peters
Publisher : MIT Press
ISBN 13 : 0262037319
Total Pages : 289 pages
Book Rating : 4.2/5 (62 download)
Download or read book Elements of Causal Inference written by Jonas Peters and published by MIT Press. This book was released on 2017-11-29 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: A concise and self-contained introduction to causal inference, increasingly important in data science and machine learning. The mathematization of causality is a relatively recent development, and has become increasingly important in data science and machine learning. This book offers a self-contained and concise introduction to causal models and how to learn them from data. After explaining the need for causal models and discussing some of the principles underlying causal inference, the book teaches readers how to use causal models: how to compute intervention distributions, how to infer causal models from observational and interventional data, and how causal ideas could be exploited for classical machine learning problems. All of these topics are discussed first in terms of two variables and then in the more general multivariate case. The bivariate case turns out to be a particularly hard problem for causal learning because there are no conditional independences as used by classical methods for solving multivariate cases. The authors consider analyzing statistical asymmetries between cause and effect to be highly instructive, and they report on their decade of intensive research into this problem. The book is accessible to readers with a background in machine learning or statistics, and can be used in graduate courses or as a reference for researchers. The text includes code snippets that can be copied and pasted, exercises, and an appendix with a summary of the most important technical concepts.
