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Likelihood Based Inference In Cointegrated Vector Autoregressive Models
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Book Synopsis Likelihood-Based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen
Download or read book Likelihood-Based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by OUP Oxford. This book was released on 1995-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. Part I of the book is planned so that it can be used by those who want to apply the methods without going into too much detail about the probability theory. The main emphasis is on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function. It is shown that many different models can be formulated within the framework of the autoregressive model and the interpretation of these models is discussed in detail. In particular, models involving restrictions on the cointegration vectors and the adjustment coefficients are discussed, as well as the role of the constant and linear drift. In Part II, the asymptotic theory is given the slightly more general framework of stationary linear processes with i.i.d. innovations. Some useful mathematical tools are collected in Appendix A, and a brief summary of weak convergence in given in Appendix B. The book is intended to give a relatively self-contained presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved. Many exercises are provided. The theoretical analysis is illustrated with the empirical analysis of two sets of economic data. The theory has been developed in close contract with the application and the methods have been implemented in the computer package CATS in RATS as a result of a rcollaboation with Katarina Juselius and Henrik Hansen.
Book Synopsis Likelihood-Based Inference in Cointegrated Vector Autoregressive Models by : Soren Johansen
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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Likelihood-Based Inference in Cointegrated Vector Autoregressive Models by : Soren Johansen
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:
Book Synopsis Likelihood-based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen
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.
Book Synopsis Workbook on Cointegration by : Peter Reinhard Hansen
Download or read book Workbook on Cointegration written by Peter Reinhard Hansen and published by Oxford University Press, USA. This book was released on 1998 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Book Synopsis Inference in Cointegrated Var Models by : Alessandra Canepa
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.
Book Synopsis Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model by : Søren Johansen
Download or read book Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model written by Søren Johansen and published by . This book was released on 2010 with total page 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.
Book Synopsis Bayesian Inference in Dynamic Econometric Models by : Luc Bauwens
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.
Book Synopsis Econometric Modeling by : David F. Hendry
Download or read book Econometric Modeling written by David F. Hendry and published by Princeton University Press. This book was released on 2012-06-21 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihood-based approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.
Book Synopsis Applied Time Series Econometrics by : Helmut Lütkepohl
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.
Book Synopsis The Cointegrated VAR Model by : Katarina Juselius
Download or read book The Cointegrated VAR Model written by Katarina Juselius and published by OUP Oxford. This book was released on 2006-12-07 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Book Synopsis Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration by : Michael Binder
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:
Book Synopsis A Comparison of Sequential and Information-Based Methods for Determining the Co-Integration Rank in Heteroskedastic VAR Models by : Giuseppe Cavaliere
Download or read book A Comparison of Sequential and Information-Based Methods for Determining the Co-Integration Rank in Heteroskedastic VAR Models written by Giuseppe Cavaliere and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used information criteria, such as Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) , with the commonly used sequential approach of Johansen [Likelihood-based Inference in Cointegrated Vector Autoregressive Models (1996)] based around the use of either asymptotic or wild bootstrap-based likelihood ratio type tests. Complementing recent work done for the latter in Cavaliere, Rahbek and Taylor [Econometric Reviews (2014) forthcoming], we establish the asymptotic properties of the procedures based on information criteria in the presence of heteroskedasticity (conditional or unconditional) of a quite general and unknown form. The relative finite-sample properties of the different methods are investigated by means of a Monte Carlo simulation study. For the simulation DGPs considered in the analysis, we find that the BIC-based procedure and the bootstrap sequential test procedure deliver the best overall performance in terms of their frequency of selecting the correct co-integration rank across different values of the co-integration rank, sample size, stationary dynamics and models of heteroskedasticity. Of these, the wild bootstrap procedure is perhaps the more reliable overall as it avoids a significant tendency seen in the BIC-based method to over-estimate the co-integration rank in relatively small sample sizes.
Book Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian
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.
Book Synopsis Cointegration, Causality, and Forecasting by : Halbert White
Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Book Synopsis Recent Developments in Cointegration by : Katarina Juselius
Download or read book Recent Developments in Cointegration written by Katarina Juselius and published by MDPI. This book was released on 2018-07-05 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics
