Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Five Empirical Essays On Identifying Cointegrated Vector Autoregressive Systems
Download Five Empirical Essays On Identifying Cointegrated Vector Autoregressive Systems full books in PDF, epub, and Kindle. Read online Five Empirical Essays On Identifying Cointegrated Vector Autoregressive Systems ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Five Empirical Essays on Identifying Cointegrated Vector Autoregressive Systems by : Thórarinn G. Pétursson
Download or read book Five Empirical Essays on Identifying Cointegrated Vector Autoregressive Systems written by Thórarinn G. Pétursson and published by . This book was released on 1998 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unconventional Identification in Vector Autoregressive Models: Empirical Essays on Credit, Risk and Uncertainty by : Maximilian Podstawski
Download or read book Unconventional Identification in Vector Autoregressive Models: Empirical Essays on Credit, Risk and Uncertainty written by Maximilian Podstawski and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Identification of the Vector Autoregression by : Kevin D. Hoover
Download or read book Empirical Identification of the Vector Autoregression written by Kevin D. Hoover and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The M2 monetary aggregate is monitored by the Federal Reserve, using a broad brush theoretical analysis and an informal empirical analysis. This paper illustrates empirical identification of an eleven-variable system, in which M2 and the factors that the Fed regards as causes and effects are captured in a vector autogregression. Taking account of cointegration, the methodology combines recent developments in graph-theoretical causal search algorithms with a general-to-specific search algorithm to identify a fully specified structural vector autoregression (SVAR). The SVAR is used to examine the causes and effects of M2 in a variety of ways. We conclude that, while the Fed has rightly identified a number of special factors that influence M2 and while M2 detectably affects other important variables, there is 1) little support for the core quantity-theoretic approach to M2 used by the Fed; and 2) M2 is a trivial linkage in the transmission mechanism from monetary policy to real output and inflation.
Book Synopsis Model Reduction Methods for Vector Autoregressive Processes by : Ralf Brüggemann
Download or read book Model Reduction Methods for Vector Autoregressive Processes written by Ralf Brüggemann and published by Springer Science & Business Media. This book was released on 2012-09-25 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.
Book Synopsis Some Identification Problems in the Cointegrated Vector Autoregressive Model by : Søren Johansen
Download or read book Some Identification Problems in the Cointegrated Vector Autoregressive Model written by Søren Johansen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Vector Autoregressive Modeling by : Marius Ooms
Download or read book Empirical Vector Autoregressive Modeling written by Marius Ooms and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, §6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.
Book Synopsis Identifying Structural Breaks in Cointegrated Vector Autoregressive Models by : Håvard Hungnes
Download or read book Identifying Structural Breaks in Cointegrated Vector Autoregressive Models written by Håvard Hungnes and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article suggests an alternative formulation of the cointegrated vector autoregressive (VAR) model such that the coefficients for the deterministic terms have straightforward interpretations. These coefficients can be interpreted as growth rates and cointegration mean level coefficients and express long-run properties of the model. For example, the growth rate coefficients tell us how much to expect (unconditionally) the variables in the system to grow from one period to the next, representing the underlying (steady state) growth in the variables. The estimation of the proposed formulation is made operationally in GRaM, which is a program for Ox Professional. GRaM can be used for analysing structural breaks when the deterministic terms include shift dummies and broken trends. By applying a formulation with interpretable deterministic components, different types of structural breaks can be identified. Shifts in both intercepts and growth rates, or combinations of these, can be tested for. The ability to distinguish between different types of structural breaks makes the procedure superior compared with alternative procedures. Furthermore, the procedure utilizes the information more efficiently than alternative procedures. Finally, interpretable coefficients of different types of structural breaks can be identified.
Book Synopsis Three Essays on Identification in Structural Vector Autoregressive Models by : Robin Braun
Download or read book Three Essays on Identification in Structural Vector Autoregressive Models written by Robin Braun and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Vector Autoregressions with Cointegrating Restrictions by : Tor Jacobson
Download or read book Essays on Vector Autoregressions with Cointegrating Restrictions written by Tor Jacobson and published by . This book was released on 1992 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Identification and Dimension Reduction in Vector Autoregressive Models by : Dominik Bertsche
Download or read book Three Essays on Identification and Dimension Reduction in Vector Autoregressive Models written by Dominik Bertsche and published by . This book was released on 2020 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 0 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 Climate Econometrics by : Jennifer L. Castle
Download or read book Climate Econometrics written by Jennifer L. Castle and published by Now Publishers. This book was released on 2020-08-18 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Climate Econometrics: An Overview provides a review of the research in this new and growing field. The structure of the monograph is as follows: First, section 2 describes econometric methods for empirical climate modeling that can account for wide-sense non-stationarity, namely both stochastic trends and location shifts, with possibly large outliers, as well as dynamics and non-linearities. Section 3 considers hazards confronting empirical modeling of nonstationary time-series data using an example where a counter-intuitive finding is hard to resolve. The framework has a clear subject-matter theory, so is not mere 'data mining', yet the empirical result flatly contradicts the well-based theory. Section 4 provides a brief excursion into climate science, mainly concerned with the composition of the Earth's atmosphere and the role of CO2 as a greenhouse gas. Section 5 considers the consequences, both good and bad, of the Industrial Revolution raising living standards beyond the wildest dreams of those living in the 17th century, but leading to dangerous levels of CO2 emissions from using fossil fuels and consider applications of climate econometrics against that background. Section 6 illustrates the approach by modeling past climate variability over the Ice Ages. Section 7 models UK annual CO2 emissions over 1860-2017 to walk through the stages of modeling empirical time series that manifest all the problems of wide-sense non-stationarity. Section 8 concludes and summarizes a number of other empirical applications.
Book Synopsis Modern Econometric Analysis by : Olaf Hübler
Download or read book Modern Econometric Analysis written by Olaf Hübler and published by Springer Science & Business Media. This book was released on 2007-04-29 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Book Synopsis Forecasting Economic Time Series by : Michael Clements
Download or read book Forecasting Economic Time Series written by Michael Clements and published by Cambridge University Press. This book was released on 1998-10-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.
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 Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2002 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt:
