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Cointegration For The Applied Economist
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Download or read book Cointegration written by Bhaskara B. Rao and published by Springer. This book was released on 2016-07-27 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: `This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Book Synopsis Cointegration For The Applied Economist by : B Bhaskara Rao (Ed.)
Download or read book Cointegration For The Applied Economist written by B Bhaskara Rao (Ed.) and published by Allied Publishers. This book was released on 1997 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Econometrics and Economic Theory in the 20th Century by : Steinar Strøm
Download or read book Econometrics and Economic Theory in the 20th Century written by Steinar Strøm and published by Cambridge University Press. This book was released on 1998 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Table of Contents
Book Synopsis Long-run economic relationships by : Clive William John Granger
Download or read book Long-run economic relationships written by Clive William John Granger and published by . This book was released on 1991 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Unit Roots, Cointegration, and Structural Change by : G. S. Maddala
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.
Download or read book Cointegration written by B. Bhaskara Rao and published by Palgrave Macmillan. This book was released on 1994-01-01 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton, Phillipe Perron, Yash Mehra, Roger Perman and Dennis Holden and Glenn Otto. Their original works, some of which are published elsewhere, are now revised, extended and made more pedagogic. Data used in these works are given for replication of the original results. Methods of testing for unit roots, their implications and limitations, estimation of cointegrating relationships, consequences of testing the unit root null against an alternative of a one time break in trend, usefulness of these techniques in applied economic work and the significance of various diagnostic tests are all explained in a simple and easy to replicate manner.
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 Applied Econometrics by : Chung-ki Min
Download or read book Applied Econometrics written by Chung-ki Min and published by Routledge. This book was released on 2019-03-08 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Econometrics: A Practical Guide is an extremely user-friendly and application-focused book on econometrics. Unlike many econometrics textbooks which are heavily theoretical on abstractions, this book is perfect for beginners and promises simplicity and practicality to the understanding of econometric models. Written in an easy-to-read manner, the book begins with hypothesis testing and moves forth to simple and multiple regression models. It also includes advanced topics: Endogeneity and Two-stage Least Squares Simultaneous Equations Models Panel Data Models Qualitative and Limited Dependent Variable Models Vector Autoregressive (VAR) Models Autocorrelation and ARCH/GARCH Models Unit Root and Cointegration The book also illustrates the use of computer software (EViews, SAS and R) for economic estimating and modeling. Its practical applications make the book an instrumental, go-to guide for solid foundation in the fundamentals of econometrics. In addition, this book includes excerpts from relevant articles published in top-tier academic journals. This integration of published articles helps the readers to understand how econometric models are applied to real-world use cases.
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 Nonstationary Panels, Panel Cointegration, and Dynamic Panels by : Badi H. Baltagi
Download or read book Nonstationary Panels, Panel Cointegration, and Dynamic Panels written by Badi H. Baltagi and published by Elsevier. This book was released on 2000 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
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 Applied Econometrics with R by : Christian Kleiber
Download or read book Applied Econometrics with R written by Christian Kleiber and published by Springer Science & Business Media. This book was released on 2008-12-10 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: R is a language and environment for data analysis and graphics. It may be considered an implementation of S, an award-winning language initially - veloped at Bell Laboratories since the late 1970s. The R project was initiated by Robert Gentleman and Ross Ihaka at the University of Auckland, New Zealand, in the early 1990s, and has been developed by an international team since mid-1997. Historically, econometricians have favored other computing environments, some of which have fallen by the wayside, and also a variety of packages with canned routines. We believe that R has great potential in econometrics, both for research and for teaching. There are at least three reasons for this: (1) R is mostly platform independent and runs on Microsoft Windows, the Mac family of operating systems, and various ?avors of Unix/Linux, and also on some more exotic platforms. (2) R is free software that can be downloaded and installed at no cost from a family of mirror sites around the globe, the Comprehensive R Archive Network (CRAN); hence students can easily install it on their own machines. (3) R is open-source software, so that the full source code is available and can be inspected to understand what it really does, learn from it, and modify and extend it. We also like to think that platform independence and the open-source philosophy make R an ideal environment for reproducible econometric research.
Book Synopsis Applied Economic Forecasting Using Time Series Methods by : Eric Ghysels
Download or read book Applied Economic Forecasting Using Time Series Methods written by Eric Ghysels and published by Oxford University Press. This book was released on 2018 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.
Book Synopsis New Directions in Econometric Practice by : Wojciech Charemza
Download or read book New Directions in Econometric Practice written by Wojciech Charemza and published by Edward Elgar Publishing. This book was released on 1997 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work on econometrics offers an analysis of econometric practice, encompassing recent modelling methodology and PC-GIVE. It is intended for advanced undergraduates and graduate students.
Book Synopsis Econometric Analysis of Model Selection and Model Testing by : M. Ishaq Bhatti
Download or read book Econometric Analysis of Model Selection and Model Testing written by M. Ishaq Bhatti and published by Routledge. This book was released on 2017-03-02 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
