Conditional and Structural Error Correction Models PDF Download

Author: Neil R. Ericsson
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 28

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Author: Jean-Pierre Urbain
Publisher: Springer Science & Business Media
ISBN: 3642957064
Category : Business & Economics
Languages : en
Pages : 201

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Book Description
In the recent years, the study of cointegrated time series and the use of error correction models have become extremely popular in the econometric literature. This book provides an analysis of the notion of (weak) exogeneity, which is necessary to sustain valid inference in sub-systems, inthe framework of error correction models (ECMs). In many practical situations, the applied econometrician wants to introduce "structure" on his/her model in order to get economically meaningful coefficients. For thispurpose, ECMs in structural form provide an appealing framework, allowing the researcher to introduce (theoretically motivated) identification restrictions on the long run relationships. In this case, the validity of the inference will depend on a number of conditions which are investigated here. In particular,we point out that orthogonality tests, often used to test for weak exogeneity or for general misspecification, behave poorly in finite samples and are often not very useful in cointegrated systems.

Author: Samuel Karlin
Publisher: Academic Press
ISBN: 1483268039
Category : Business & Economics
Languages : en
Pages : 591

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Book Description
Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson's probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.

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

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

Author: Olaf Hübler
Publisher: Springer Science & Business Media
ISBN: 3540326936
Category : Business & Economics
Languages : en
Pages : 236

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Book Description
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.

Author: Steven Durlauf
Publisher: Springer
ISBN: 0230280838
Category : Business & Economics
Languages : en
Pages : 417

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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.

Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280

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Book Description
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.

Author: Jean-Pierre Florens
Publisher: Cambridge University Press
ISBN: 1139466771
Category : Business & Economics
Languages : en
Pages : 17

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Book Description
Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.

Author: Gebhard Kirchgässner
Publisher: Springer Science & Business Media
ISBN: 9783540687351
Category : Business & Economics
Languages : en
Pages : 288

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Book Description
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.

Author: Engelbert Plassmann
Publisher: Springer Science & Business Media
ISBN: 3642573363
Category : Business & Economics
Languages : en
Pages : 209

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Book Description
The introduction of a single European currency constitutes a remarkable instance of internationalization of monetary policy. Whether a concomitant internationalization can be detected also in the econometric foundations of monetary policy is the topic dealt with in this book. The basic theoretical ingredients comprise a data-driven approach to econometric modelling and a generalized approach to cross-sectional aggregation. The empirical result is a data-consistent structural money demand function isolated within a properly identified, dynamic macroeconomic system for Europe. The book itself evolved from a research project within the former Son derforschungsbereich SFB 178 "Internationalization of the Economy" at the University of Konstanz. Its finalization entails a due amount of gratitude to be extended into several directions: I am personally indebted, first of all, to my academic supervisor, Professor Dr. Nikolaus Laufer, for originally inspiring this work and for meticulously perusing its eventual result. Professor Dr. Win fried Pohlmeier, as a second supervisor, provided valuable confidence bounds around an earlier draft. The comments of both supervisors contributed substantially to the present shape of the book. I am institutionally indebted to the University of Konstanz, notably its Faculty of Economics and Statistics, for continuous provision of an excellent research environment, and to the Deutsche Forschungsgemeinschaft in Bonn for generous sponsorship of the former SFB, whose financial support dur ing that period is gratefully acknowledged. I am also indebted to Dresdner Bank AG Frankfurt, Risk Methodology Trading, for benign tolerance of all distractions associated with the preparation of the final manuscript.