The Effects of Additive Outliers on Tests for Unit Roots and Cointegration PDF Download

Author: Philip Hans Franses
Publisher:
ISBN:
Category : Outliers (Statistics)
Languages : en
Pages : 44

View

Book Description

Author: Philip Hans Franses
Publisher:
ISBN:
Category :
Languages : un
Pages :

View

Book Description

Author: Philip Hans Franses
Publisher:
ISBN:
Category :
Languages : en
Pages : 24

View

Book Description

Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528

View

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

Author: Pierre Perron
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 46

View

Book Description

Author: In Choi
Publisher: Cambridge University Press
ISBN: 1316300587
Category : Business & Economics
Languages : en
Pages : 301

View

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.

Author: K. Patterson
Publisher: Springer
ISBN: 0230248454
Category : Business & Economics
Languages : en
Pages : 301

View

Book Description
This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

Author: K. Patterson
Publisher: Springer
ISBN: 1137003316
Category : Business & Economics
Languages : en
Pages : 586

View

Book Description
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

Author: Philip Hans Franses
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

View

Book Description
Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of computing the robust estimator, we obtain weights for all observations in the sample. These weights can be used to identify approximate dates of those atypical events. We evaluate our method via some illustrative simulated data. Furthermore, since our robust approach involves a few additional decisions on the values of key parameters, we investigate the sensitivity of our method through extensive Monte- Carlo simulations. Finally, we present an empirical example based on real-life data to show that OLS based cointegration can yield spurious cointegration.

Author: David F. Hendry
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 48

View

Book Description