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

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

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

Author: In Choi
Publisher: Cambridge University Press
ISBN: 1107097339
Category : Business & Economics
Languages : en
Pages : 301

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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.

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

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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

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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: Katarina Juselius
Publisher: OUP Oxford
ISBN: 0191622966
Category : Business & Economics
Languages : en
Pages : 478

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This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

Author: Carmen Díaz-Roldán
Publisher: Cambridge Scholars Publishing
ISBN: 1443881333
Category : Business & Economics
Languages : en
Pages : 380

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"In a globalized world characterized by huge international capital mobility, there has been renewed interest in international economics in both academic circles and economic policy forums and supranational institutions. The recent financial and economic crisis, in particular, has raised questions concerning the usefulness of several economic paradigms accepted by both academia and advising government institutions. Advances on International Economics offers a broad overview of recent developments in international economics, both theoretical and empirical, adapted from contributions to the XV Conference on International Economics, organized by the Spanish Association of International Economics and Finance (AEEFI), and the University of Salamanca, Spain. The main topics of the contributions to this volume cover modelling international economics, macroeconomic aspects of international trade and finance, international factor movements, and international business. The chapters offer new theories and practical insights through the use of empirical tools for international policy recommendations."--Provided by publisher.

Author: M. Bruter
Publisher: Springer
ISBN: 1137318260
Category : Political Science
Languages : en
Pages : 272

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Through accounts from innovative research projects by world-leading political scientists, this volume offers a unique perspective on research methodology. It discusses the practical and intellectual dilemmas researchers face throughout the research process in a wide range of fields from implicit attitude testing to media analysis and interviews.

Author: Philip Hans Franses
Publisher: Cambridge University Press
ISBN: 1009428047
Category : Business & Economics
Languages : en
Pages : 309

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Book Description
Econometricians make choices on data, models, and estimation routines. Using various examples, this book shows the consequences of choices.

Author:
Publisher: Cambridge University Press
ISBN: 0521817706
Category :
Languages : en
Pages : 313

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