Author: Dukpa Kim
Publisher:
ISBN: 9781109976205
Category :
Languages : en
Pages : 233
Book Description
The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced.
Unit Root, Cointegration and Structural Changes: Theoretical Analyses and Improved Testing Procedures
Author: Dukpa Kim
Publisher:
ISBN: 9781109976205
Category :
Languages : en
Pages : 233
Book Description
The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced.
Publisher:
ISBN: 9781109976205
Category :
Languages : en
Pages : 233
Book Description
The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced.
Unit Roots, Cointegration, and Structural Change
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.
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.
Unit root tests: Common pitfalls and best practices
Author: Traoré, Fousseini
Publisher: Intl Food Policy Res Inst
ISBN:
Category : Political Science
Languages : en
Pages : 24
Book Description
Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.
Publisher: Intl Food Policy Res Inst
ISBN:
Category : Political Science
Languages : en
Pages : 24
Book Description
Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.
Almost All about Unit Roots
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.
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.
Three Essays on Unit Root Tests and Cointegration
Author: Hui Liu
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 204
Book Description
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 204
Book Description
Economic Structural Change
Author: Peter Hackl
Publisher: Springer Science & Business Media
ISBN: 3662068249
Category : Business & Economics
Languages : en
Pages : 377
Book Description
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Publisher: Springer Science & Business Media
ISBN: 3662068249
Category : Business & Economics
Languages : en
Pages : 377
Book Description
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Unit Roots and Structural Breaks
Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Publisher: MDPI
ISBN: 3038428116
Category : Business & Economics
Languages : en
Pages : 167
Book Description
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
New Developments in Time Series Econometrics
Author: Jean-Marie Dufour
Publisher: Springer Science & Business Media
ISBN: 3642487424
Category : Business & Economics
Languages : en
Pages : 248
Book Description
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Publisher: Springer Science & Business Media
ISBN: 3642487424
Category : Business & Economics
Languages : en
Pages : 248
Book Description
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Nonstationary Panels, Panel Cointegration, and Dynamic Panels
Author: Badi H. Baltagi
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351
Book Description
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351
Book Description
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
Unit Roots and Structural Breaks
Author: Pierre Perron (Ed.)
Publisher:
ISBN:
Category : Economic growth, development, planning
Languages : en
Pages : 162
Book Description
This book deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements to and analyses of the existing procedures. This book provides contributions that follow up on what has been done and/or offer new perspectives on such issues and related ones.
Publisher:
ISBN:
Category : Economic growth, development, planning
Languages : en
Pages : 162
Book Description
This book deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements to and analyses of the existing procedures. This book provides contributions that follow up on what has been done and/or offer new perspectives on such issues and related ones.