Author: Paramsothy SilvapullePublisher: La Trobe University Schools of Economics and Commerce
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
Book Description
Testing Stationary Nonnested Short Memory Against Long Memory Processes
Author: Paramsothy SilvapullePublisher: La Trobe University Schools of Economics and Commerce
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
Book Description
Unit Root Tests and Structural Breaks
Author: Paramsothy SilvapullePublisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 30
Book Description
A Lagrange Multiplier Test for Seasonal Fractional Integration
Author: Paramsothy SilvapullePublisher: La Trobe University Schools of Economics and Commerce
ISBN:
Category : Business & Economics
Languages : en
Pages : 28
Book Description
The Analysis of Time Series
Author: Chris ChatfieldPublisher: CRC Press
ISBN: 1498795641
Category : Mathematics
Languages : en
Pages : 415
Book Description
This new edition of this classic title, now in its seventh edition, presents a balanced and comprehensive introduction to the theory, implementation, and practice of time series analysis. The book covers a wide range of topics, including ARIMA models, forecasting methods, spectral analysis, linear systems, state-space models, the Kalman filters, nonlinear models, volatility models, and multivariate models.
An Empirical Investigation of the Relationships Among Real, Monetary and Financial Variables
Author: Ramya HewarathnaPublisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 36
Book Description
Explanatory Factors for Trading Volume Responses to Annual Earnings Announcements
Author: Jong-Seo ChoiPublisher:
ISBN:
Category : Financial statements
Languages : en
Pages : 60
Book Description
Economics Discussion Papers
Author: Wool Price Variability in the Long Run
Author: Peter BardsleyThe Methodology and Practice of Econometrics
Author: Jennifer CastlePublisher: OUP Oxford
ISBN: 0191553255
Category : Business & Economics
Languages : en
Pages : 464
Book Description
David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bårdsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Søren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.
Unit Roots, Cointegration, and Structural Change
Author: G. S. MaddalaPublisher: 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.