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Seasonal Unit Root Tests Under Structural Breaks

Seasonal Unit Root Tests Under Structural Breaks PDF Author: Uwe Hassler
Publisher:
ISBN: 9783935058292
Category :
Languages : en
Pages : 31

Book Description

Seasonal Unit Root Tests Under Structural Breaks

Seasonal Unit Root Tests Under Structural Breaks PDF Author: Uwe Hassler
Publisher:
ISBN: 9783935058292
Category :
Languages : en
Pages : 31

Book Description

Unit Roots, Cointegration, and Structural Change

Unit Roots, Cointegration, and Structural Change PDF Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528

Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

Almost All About Unit Roots

Almost All About Unit Roots PDF Author: In Choi
Publisher: Cambridge University Press
ISBN: 1107097339
Category : Business & Economics
Languages : en
Pages : 301

Book Description
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.

Analysis of Integrated and Cointegrated Time Series with R

Analysis of Integrated and Cointegrated Time Series with R PDF Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193

Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests

Finite Sample Effects of Pure Seasonal Mean Shifts on Dickey-Fuller Tests PDF Author: Artur C.B. da Silva Lopes
Publisher:
ISBN:
Category :
Languages : en
Pages : 14

Book Description
In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests.

Testing Against Stochastic Trend and Seasonality in the Presence of Unattended Breaks and Unit Roots

Testing Against Stochastic Trend and Seasonality in the Presence of Unattended Breaks and Unit Roots PDF Author: Fabio Busetti
Publisher:
ISBN:
Category : Seasonal variations
Languages : en
Pages : 72

Book Description

Role of Structural Breaks in Unit Root Testing

Role of Structural Breaks in Unit Root Testing PDF Author: Sophia Nicolaou
Publisher:
ISBN:
Category :
Languages : en
Pages : 80

Book Description

Almost All about Unit Roots

Almost All about Unit Roots PDF Author: In Choi
Publisher: Cambridge University Press
ISBN: 1316300587
Category : Business & Economics
Languages : en
Pages : 301

Book Description
Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.

Macroeconometrics and Time Series Analysis

Macroeconometrics and Time Series Analysis PDF Author: Steven Durlauf
Publisher: Springer
ISBN: 0230280838
Category : Business & Economics
Languages : en
Pages : 417

Book Description
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Modeling and Forecasting Primary Commodity Prices

Modeling and Forecasting Primary Commodity Prices PDF Author: Walter C. Labys
Publisher: Routledge
ISBN: 1351917080
Category : Business & Economics
Languages : en
Pages : 247

Book Description
Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
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