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Testing Causality Between Two Vectors In Multivariate Arma Models
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Book Synopsis Testing Causality Between Two Vectors in Multivariate ARMA Models by : H. (Hafida) Boudjellaba
Download or read book Testing Causality Between Two Vectors in Multivariate ARMA Models written by H. (Hafida) Boudjellaba and published by Montréal : Université de Montréal, Dép. de sciences économiques. This book was released on 1991 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Univ. de Montréal. Fac. des arts et des sciences. Dépt. de sciences économiques Publisher : ISBN 13 : Total Pages : pages Book Rating :4.:/5 (13 download)
Book Synopsis Cahier 9119. Testing Causality Between Two Vectors in Multivariate Arma Models by : Univ. de Montréal. Fac. des arts et des sciences. Dépt. de sciences économiques
Download or read book Cahier 9119. Testing Causality Between Two Vectors in Multivariate Arma Models written by Univ. de Montréal. Fac. des arts et des sciences. Dépt. de sciences économiques and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Hafida Boudjellaba Publisher :Montréal : Université de Montréal, Dép. de sciences économiques ISBN 13 :9782893821764 Total Pages :22 pages Book Rating :4.8/5 (217 download)
Book Synopsis Simplified Conditions for Non-causality Between Vectors in Multivariate ARMA Models by : Hafida Boudjellaba
Download or read book Simplified Conditions for Non-causality Between Vectors in Multivariate ARMA Models written by Hafida Boudjellaba and published by Montréal : Université de Montréal, Dép. de sciences économiques. This book was released on 1992 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, these simplified conditions are shown to hold under weaker regularity conditions and generalized to the important case where the two vectors do not necessarily embody all the variables considered in the analysis. The conditions so obtained can be considerably simpler and easier to implement that [sic] earlier ones. Testing of the conditions derived is also discussed and the results are applied to a model of Canadian money, income and interest rates. The results indicate the presence of feedback between money and income, as well as between money and interest rates."
Book Synopsis Testing Causality Between Two Vectors in Multivariate GARCH Models by : Tomasz Woźniak
Download or read book Testing Causality Between Two Vectors in Multivariate GARCH Models written by Tomasz Woźniak and published by . This book was released on 2012 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk as well. I use the family of Constant Conditional Correlation GARCH models to model the risk associated with financial time series and to make inferences about Granger causal relations between second conditional moments. The restrictions for second-order Granger noncausality between two vectors of variables are derived. To assess the credibility of the noncausality hypotheses, I employ posterior odds ratios. This Bayesian method constitutes an alternative for classical tests that makes such testing possible, regardless of the form of the restrictions on the parameters of the model. Moreover, it relaxes the assumptions about the existence of higher-order moments of the processes required in classical tests. In the empirical example, I find that the pound-to-Euro exchange rate second-order causes the US dollar-to-Euro exchange rate, which confirms the meteor shower hypothesis of Engle, Ito & Lin (1990).
Book Synopsis Statistical Modeling and Analysis for Complex Data Problems by : Pierre Duchesne
Download or read book Statistical Modeling and Analysis for Complex Data Problems written by Pierre Duchesne and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews some of today’s more complex problems, and reflects some of the important research directions in the field. Twenty-nine authors – largely from Montreal’s GERAD Multi-University Research Center and who work in areas of theoretical statistics, applied statistics, probability theory, and stochastic processes – present survey chapters on various theoretical and applied problems of importance and interest to researchers and students across a number of academic domains.
Book Synopsis Multiple Time Series Modeling Using the SAS VARMAX Procedure by : Anders Milhoj
Download or read book Multiple Time Series Modeling Using the SAS VARMAX Procedure written by Anders Milhoj and published by SAS Institute. This book was released on 2016-01-11 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at econometricians who have completed at least one course in time series modeling, this comprehensive book will teach you the time series analytical possibilities that SAS offers today. --
Book Synopsis New Developments in Time Series Econometrics by : Jean-Marie Dufour
Download or read book New Developments in Time Series Econometrics written by Jean-Marie Dufour and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Book Synopsis Journal of the American Statistical Association by :
Download or read book Journal of the American Statistical Association written by and published by . This book was released on 2007 with total page 1542 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Theory and Method Abstracts by :
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1993 with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Simplified Conditions for Non-casuality Between Vectors in Multivariate Arma Models. /..., Jean-Marie Dufour, Roch Roy by : Hafida Boudjellaba
Download or read book Simplified Conditions for Non-casuality Between Vectors in Multivariate Arma Models. /..., Jean-Marie Dufour, Roch Roy written by Hafida Boudjellaba and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistica Sinica written by and published by . This book was released on 2003 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Econometrics written by and published by . This book was released on 1997 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Latent Variable Modeling and Applications to Causality by : Maia Berkane
Download or read book Latent Variable Modeling and Applications to Causality written by Maia Berkane and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume gathers refereed papers presented at the 1994 UCLA conference on "La tent Variable Modeling and Application to Causality. " The meeting was organized by the UCLA Interdivisional Program in Statistics with the purpose of bringing together a group of people who have done recent advanced work in this field. The papers in this volume are representative of a wide variety of disciplines in which the use of latent variable models is rapidly growing. The volume is divided into two broad sections. The first section covers Path Models and Causal Reasoning and the papers are innovations from contributors in disciplines not traditionally associated with behavioural sciences, (e. g. computer science with Judea Pearl and public health with James Robins). Also in this section are contri butions by Rod McDonald and Michael Sobel who have a more traditional approach to causal inference, generating from problems in behavioural sciences. The second section encompasses new approaches to questions of model selection with emphasis on factor analysis and time varying systems. Amemiya uses nonlinear factor analysis which has a higher order of complexity associated with the identifiability condi tions. Muthen studies longitudinal hierarchichal models with latent variables and treats the time vector as a variable rather than a level of hierarchy. Deleeuw extends exploratory factor analysis models by including time as a variable and allowing for discrete and ordi nal latent variables. Arminger looks at autoregressive structures and Bock treats factor analysis models for categorical data.
Book Synopsis Industrial Control Systems by : Adedeji B. Badiru
Download or read book Industrial Control Systems written by Adedeji B. Badiru and published by CRC Press. This book was released on 2016-04-19 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues such as logistics, the coordination of different teams, and automatic control of machinery become more difficult when dealing with large, complex projects. Yet all these activities have common elements and can be represented by mathematics. Linking theory to practice, Industrial Control Systems: Mathematical and Statistical Models and Techni
Book Synopsis Testing Causality in Variance Using Multivariate GARCH Models by : Christian M. Hafner
Download or read book Testing Causality in Variance Using Multivariate GARCH Models written by Christian M. Hafner and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Multivariate Time Series Analysis of the Dutch Flow of Funds by : Henricus Sjoerd van der Knoop
Download or read book A Multivariate Time Series Analysis of the Dutch Flow of Funds written by Henricus Sjoerd van der Knoop and published by . This book was released on 1984 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :American Statistical Association. Business and Economic Statistics Section Publisher : ISBN 13 : Total Pages :376 pages Book Rating :4.3/5 (512 download)
Book Synopsis Proceedings of the Business and Economic Statistics Section by : American Statistical Association. Business and Economic Statistics Section
Download or read book Proceedings of the Business and Economic Statistics Section written by American Statistical Association. Business and Economic Statistics Section and published by . This book was released on 1994 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt:
