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Author : Hahn Shik Lee
Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.:/5 (318 download)
Download or read book Inference on Long-run Equilibrium Relationship in Economic Time Series written by Hahn Shik Lee and published by . This book was released on 1990 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Øyvind Eitrheim
Publisher :
ISBN 13 : 9788275530101
Total Pages : 41 pages
Book Rating : 4.5/5 (31 download)
Download or read book Testing Long Run Relationships Between Economic Time Series Using Likelihood-based Inference on Cointegration written by Øyvind Eitrheim and published by . This book was released on 1990 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anindya Banerjee
Publisher : Oxford University Press
ISBN 13 : 0191638919
Total Pages : 344 pages
Book Rating : 4.1/5 (916 download)
Download or read book Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data written by Anindya Banerjee and published by Oxford University Press. This book was released on 1993-05-27 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Author : Christian Kascha
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (535 download)
Download or read book Three Essays in Time Series Econometrics written by Christian Kascha and published by . This book was released on 2007 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-Marie Dufour
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (936 download)
Download or read book Short Run and Long Run Causality in Time Series written by Jean-Marie Dufour and published by . This book was released on 2003 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
ISBN 13 : 9783540262398
Total Pages : 792 pages
Book Rating : 4.2/5 (623 download)
Download or read book New Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2007-07-26 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Author : Van-Nam Huynh
Publisher : Springer
ISBN 13 : 3319272845
Total Pages : 626 pages
Book Rating : 4.3/5 (192 download)
Download or read book Causal Inference in Econometrics written by Van-Nam Huynh and published by Springer. This book was released on 2015-12-28 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.
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 : Janet M. Box-Steffensmeier
Publisher : Cambridge University Press
ISBN 13 : 0521871166
Total Pages : 297 pages
Book Rating : 4.5/5 (218 download)
Download or read book Time Series Analysis for the Social Sciences written by Janet M. Box-Steffensmeier and published by Cambridge University Press. This book was released on 2014-12-22 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides instruction and examples of the core methods in time series econometrics, drawing from several main fields of the social sciences.
Author : J. Hidalgo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (593 download)
Download or read book Improved Inference in Econometric Analysis of Long Memory Time Series written by J. Hidalgo and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stan Hurn
Publisher : Edward Elgar Publishing
ISBN 13 : 9781782543756
Total Pages : 264 pages
Book Rating : 4.5/5 (437 download)
Download or read book Contemporary Issues in Economics and Econometrics written by Stan Hurn and published by Edward Elgar Publishing. This book was released on 2004-01-01 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'All of the papers share a high level of practical relevance and usefulness that is sometimes missing in economic research. Indeed, the reader will find that very issue taken up as the theme of Paul Klemperer's delightful essay, and all five papers under the heading of "econometric theory" will be extremely useful for most applied researchers. I hope that the reader will also share my feeling of gratitude toward Ralf Becker and Stan Hurn for putting together this outstanding permanent record of some of the conference's most important contributions.' - From the foreword by James D. Hamilton, University of California, San Diego, US This authoritative collection of papers covers a broad spectrum of topics in theoretical and applied economics and econometrics. The tone of the book is set by Paul Klemperer's contribution on using and abusing economic theory, in which academics are encouraged to widen the scope of their analyses beyond the confines of elegant models which sometimes lack 'real-world' detail. As a result, many of the chapters in this volume share a high degree of practical relevance.
Author : Joao Paulo Cerdeira Bento
Publisher : LIT Verlag Münster
ISBN 13 : 3643100841
Total Pages : 174 pages
Book Rating : 4.6/5 (431 download)
Download or read book Economic Integration, International Trade and the Role of Foreign Direct Investment written by Joao Paulo Cerdeira Bento and published by LIT Verlag Münster. This book was released on 2009 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides a significant contribution to the understanding of the effects of foreign direct investment on trade. Through an investigation of the pattern and determinants of trade in Portuguese manufacturing, it demonstrates FDI's long term transforming effect and how it has the potential to transfer and embed knowledge within the EU through upgrading host economies. The volume will be of interest to academics, postgraduate students, researchers and policy makers.
Author : Terence C. Mills
Publisher : Springer
ISBN 13 : 0230244408
Total Pages : 1406 pages
Book Rating : 4.2/5 (32 download)
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Author : Marc Nerlove
Publisher : Academic Press
ISBN 13 : 1483218880
Total Pages : 495 pages
Book Rating : 4.4/5 (832 download)
Download or read book Analysis of Economic Time Series written by Marc Nerlove and published by Academic Press. This book was released on 2014-05-10 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.
Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author : Mr.Markus Eberhardt
Publisher : International Monetary Fund
ISBN 13 : 1484309715
Total Pages : 55 pages
Book Rating : 4.4/5 (843 download)
Download or read book This Time They Are Different written by Mr.Markus Eberhardt and published by International Monetary Fund. This book was released on 2013-12-17 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the long-run relationship between public debt and growth in a large panel of countries. Our analysis takes particular note of theoretical arguments and data considerations in modeling the debt-growth relationship as heterogeneous across countries. We investigate the issue of nonlinearities (debt thresholds) in both the cross-country and within-country dimensions, employing novel methods and diagnostics from the time-series literature adapted for use in the panel. We find some support for a nonlinear relationship between debt and long-run growth across countries, but no evidence for common debt thresholds within countries over time.
Author : Takatoshi Ito
Publisher : University of Chicago Press
ISBN 13 : 0226386996
Total Pages : 414 pages
Book Rating : 4.2/5 (263 download)
Download or read book Macroeconomic Linkage written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2009-02-15 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores East Asia's macroeconomic experience in the 1980s and the economic impact of East Asia's growth on the rest of the world. The authors explore the causes of capital flows, changes in trade balances, and exchange rate fluctuations in East Asia and their effects on other countries. These fourteen papers are organized around four themes: the overall determinants of growth and trading relations in the East Asian region; monetary policies in relation to capital controls and capital accounts; the impact of exchange rate behavior on industrial structure; and the potential for greater regional integration. The contributors examine interactions among exchange rate movements, trade balances, and capital flows; how government monetary policy affects capital flows; the effect of exchange rates on industrial structure, inventories, and prices; and the extent of regional integration in East Asia.
