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Exogeneity In Error Correction Models
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Book Synopsis Exogeneity in Error Correction Models by : Jean-Pierre Urbain
Download or read book Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by Springer. This book was released on 1993-06-14 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
Book Synopsis Exogeneity in Error Correction Models by : Jean-Pierre Urbain
Download or read book Exogeneity in Error Correction Models written by Jean-Pierre Urbain and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.
Book Synopsis Handbook of Market Research by : Christian Homburg
Download or read book Handbook of Market Research written by Christian Homburg and published by Springer. This book was released on 2021-12-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this handbook, internationally renowned scholars outline the current state-of-the-art of quantitative and qualitative market research. They discuss focal approaches to market research and guide students and practitioners in their real-life applications. Aspects covered include topics on data-related issues, methods, and applications. Data-related topics comprise chapters on experimental design, survey research methods, international market research, panel data fusion, and endogeneity. Method-oriented chapters look at a wide variety of data analysis methods relevant for market research, including chapters on regression, structural equation modeling (SEM), conjoint analysis, and text analysis. Application chapters focus on specific topics relevant for market research such as customer satisfaction, customer retention modeling, return on marketing, and return on price promotions. Each chapter is written by an expert in the field. The presentation of the material seeks to improve the intuitive and technical understanding of the methods covered.
Book Synopsis Contemporary Issues in Economics and Econometrics by : Stan Hurn
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.
Book Synopsis Testing Exogeneity by : Neil R. Ericsson
Download or read book Testing Exogeneity written by Neil R. Ericsson and published by . This book was released on 1994 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the nature of exogeneity, a central concept in standard econometrics texts, and shows how to test for it through numerous substantive empirical examples from around the world, including the UK, Argentina, Denmark, Finland, and Norway. Part I defines terms and provides the necessary background; Part II contains applications to models of expenditure, money demand, inflation, wages and prices, and exchange rates; and Part III extends various tests of constancy and forecast accuracy, which are central to testing super exogeneity. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Book Synopsis Time Series Econometrics by : Klaus Neusser
Download or read book Time Series Econometrics written by Klaus Neusser and published by Springer. This book was released on 2016-06-14 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Book Synopsis Partially Linear Models by : Wolfgang Härdle
Download or read book Partially Linear Models written by Wolfgang Härdle and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of partially linear regression techniques. The emphasis is on methodologies rather than on the theory, with a particular focus on applications of partially linear regression techniques to various statistical problems. These problems include least squares regression, asymptotically efficient estimation, bootstrap resampling, censored data analysis, linear measurement error models, nonlinear measurement models, nonlinear and nonparametric time series models.
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 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 Analysis of Integrated and Cointegrated Time Series with R by : Bernhard Pfaff
Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Book Synopsis Autoregressive Distributed Lag Models and Cointegration by : Uwe Hassler
Download or read book Autoregressive Distributed Lag Models and Cointegration written by Uwe Hassler and published by . This book was released on 2005 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Introductory Econometrics for Finance by : Chris Brooks
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Book Synopsis Macroeconometrics by : Kevin D. Hoover
Download or read book Macroeconometrics written by Kevin D. Hoover and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.
Book Synopsis Multiple Time Series Models by : Patrick T. Brandt
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.
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 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.
