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Author : Tom Engsted
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book Granger's Representation Theorem and Multicointegration written by Tom Engsted and published by . This book was released on 1997 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Reinhard Hansen
Publisher : Oxford University Press, USA
ISBN 13 : 9780198776086
Total Pages : 178 pages
Book Rating : 4.7/5 (76 download)
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.
Author : Peter Reinhard Hansen
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (247 download)
Download or read book The Johansen-Granger Representation Theorem written by Peter Reinhard Hansen and published by . This book was released on 2000 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Reinhard Hansen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Granger's Representation Theorem written by Peter Reinhard Hansen and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Granger representation theorem states that a cointegrated vector autoregressive process can be decomposed into the four components: a random walk, a stationary process, a deterministic part, and a term that depends on the initial values. In this paper, we present a new proof of the theorem. This proof enables us to derive closed-form expressions of all terms of the representation and allows a unified treatment of models with dierent deterministic specifications. The applicability of our results are illustrated by examples. For example, the closed-form expressions are useful for impulse response analyses and facilitate the analysis of cointegration models with structural changes.
Author : Halbert White
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296836
Total Pages : 512 pages
Book Rating : 4.2/5 (968 download)
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.
Author : Hui-Kuang Yu
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (347 download)
Download or read book Three Essays on Analysis of Economic Time Series written by Hui-Kuang Yu and published by . This book was released on 1994 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Helmut Lütkepohl
Publisher : Springer Science & Business Media
ISBN 13 : 9783540262398
Total Pages : 792 pages
Book Rating : 4.2/5 (623 download)
Download or read book New Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2007-07-26 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Author : Bhaskara B. Rao
Publisher : Springer
ISBN 13 : 1349235296
Total Pages : 247 pages
Book Rating : 4.3/5 (492 download)
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.
Author : James H. Stock
Publisher : Prentice Hall
ISBN 13 : 9780133486872
Total Pages : 0 pages
Book Rating : 4.4/5 (868 download)
Download or read book Introduction to Econometrics written by James H. Stock and published by Prentice Hall. This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: For courses in Introductory Econometrics Engaging applications bring the theory and practice of modern econometrics to life. Ensure students grasp the relevance of econometrics with Introduction to Econometrics-the text that connects modern theory and practice with motivating, engaging applications. The Third Edition Update maintains a focus on currency, while building on the philosophy that applications should drive the theory, not the other way around. This program provides a better teaching and learning experience-for you and your students. Here's how: Personalized learning with MyEconLab-recommendations to help students better prepare for class, quizzes, and exams-and ultimately achieve improved comprehension in the course. Keeping it current with new and updated discussions on topics of particular interest to today's students. Presenting consistency through theory that matches application. Offering a full array of pedagogical features. Note: You are purchasing a standalone product; MyEconLab does not come packaged with this content. If you would like to purchase both the physical text and MyEconLab search for ISBN-10: 0133595420 ISBN-13: 9780133595420. That package includes ISBN-10: 0133486877 /ISBN-13: 9780133486872 and ISBN-10: 0133487679/ ISBN-13: 9780133487671. MyEconLab is not a self-paced technology and should only be purchased when required by an instructor.
Author : G. S. Maddala
Publisher : Cambridge University Press
ISBN 13 : 9780521587822
Total Pages : 528 pages
Book Rating : 4.5/5 (878 download)
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.
Author : Katarina Juselius
Publisher : OUP Oxford
ISBN 13 : 0191622966
Total Pages : 478 pages
Book Rating : 4.1/5 (916 download)
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.
Author : S. Burke
Publisher : Springer
ISBN 13 : 0230005780
Total Pages : 253 pages
Book Rating : 4.2/5 (3 download)
Download or read book Modelling Non-Stationary Economic Time Series written by S. Burke and published by Springer. This book was released on 2005-06-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Author : Patrick T. Brandt
Publisher : SAGE
ISBN 13 : 1412906563
Total Pages : 121 pages
Book Rating : 4.4/5 (129 download)
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.
Author : Panchanan Das
Publisher : Springer Nature
ISBN 13 : 9813290196
Total Pages : 565 pages
Book Rating : 4.8/5 (132 download)
Download or read book Econometrics in Theory and Practice written by Panchanan Das and published by Springer Nature. This book was released on 2019-09-05 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
Author : Murray Moo-Young
Publisher : World Bank Publications
ISBN 13 : 0080325092
Total Pages : 150 pages
Book Rating : 4.0/5 (83 download)
Download or read book Comprehensive Biotechnology: The principles of biotechnology written by Murray Moo-Young and published by World Bank Publications. This book was released on 1985 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Biotechnology is defined as the evaluation and use of biological agents and materials in the production of goods and services for industry, trade and commerce. In this four-volume set there are two main divisions of the subject matter: an academic coverage of the disciplinary underpinnings of the field in Volumes 1 and 2, followed by a practical view of the various processes and products in Volumes 3 and 4. In the integration of these two areas, other common factors dealing with product quality, process economics and government policies are introduced at appropriate points throughout all four volumes. Volume 1 specifically delineates and integrates the unifying multidisciplinary principles in terms of relevant genetic, biological, chemical and biochemical fundamentals. As in the other volumes, a glossary of terms and nomenclature guidelines is included to assist both the beginner and the non-specialist.
Author : Peter Fuleky
Publisher : Springer Nature
ISBN 13 : 3030311503
Total Pages : 716 pages
Book Rating : 4.0/5 (33 download)
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Author : Michio Hatanaka
Publisher : Oxford University Press
ISBN 13 : 0198773536
Total Pages : 307 pages
Book Rating : 4.1/5 (987 download)
Download or read book Time-series-based Econometrics written by Michio Hatanaka and published by Oxford University Press. This book was released on 1996 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examinesthose portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies.The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, butthat the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span.Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanakahas rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test.This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniquesmake the book a self-contained text for graduate students.
