Nonstationary Time Series Analysis And Cointegration

Author : Colin P. Hargreaves
Publisher : Oxford University Press, USA
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.06/5 ( download)

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Download or read book Nonstationary Time Series Analysis and Cointegration written by Colin P. Hargreaves and published by Oxford University Press, USA. This book was released on 1994 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonstationary Time Series Analysis and Cointegration shows major developments in the econometric analysis of the long run (of nonstationarity and cointegration) - a field which has developed dramatically over the last twelve years to have a profound effect on econometric analysis in general. The papers here describe and evaluate new methods, provide useful overviews, and show detailed implementations helpful to practitioners. Papers include two substantive analyses of economic forecasting, based around an integral understanding of integration and cointegration and an evaluation of real business cycle models. There is an evaluation of different cointegration estimators and a new test for cointegration. There is a discussion of the effects of seasonality, looking at seasonal unit roots and at encompassing modelling with seasonally unadjusted versus adjusted data. A different style of nonstationarity is raised in a discussion of testing for inflationary bubbles and for time-varying transition probabilities in Hamilton's Markov switching model. This volume provides wide-ranging coverage of the literature, showing the importance of nonstationarity and cointegration.

Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
ISBN 13 : 0387759670
Total Pages : 193 pages
Book Rating : 4.78/5 ( download)

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Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.

Author : Hargreaves Colin P.
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.49/5 ( download)

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Download or read book Nonstationary Time Series Analysis and Cointegration written by Hargreaves Colin P. and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Gebhard Kirchgässner
Publisher : Springer Science & Business Media
ISBN 13 : 3642334350
Total Pages : 326 pages
Book Rating : 4.51/5 ( download)

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Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2012-10-09 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

Author : Constantin Colonescu
Publisher : Lulu.com
ISBN 13 : 1387473611
Total Pages : 278 pages
Book Rating : 4.18/5 ( download)

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Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2018-01-05 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.

Author : Gebhard Kirchgässner
Publisher : Springer Science & Business Media
ISBN 13 : 9783540687351
Total Pages : 288 pages
Book Rating : 4.51/5 ( download)

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Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2008-08-27 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Michael P. Clements
Publisher : MIT Press
ISBN 13 : 9780262531894
Total Pages : 398 pages
Book Rating : 4.95/5 ( download)

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Download or read book Forecasting Non-stationary Economic Time Series written by Michael P. Clements and published by MIT Press. This book was released on 1999 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.

Author : John Hunter
Publisher : Springer
ISBN 13 : 113731303X
Total Pages : 502 pages
Book Rating : 4.34/5 ( download)

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Download or read book Multivariate Modelling of Non-Stationary Economic Time Series written by John Hunter and published by Springer. This book was released on 2017-05-08 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.

Author : S. Burke
Publisher : Springer
ISBN 13 : 0230005780
Total Pages : 253 pages
Book Rating : 4.85/5 ( download)

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Download or read book Modelling Non-Stationary Economic Time Series written by S. Burke and published by Springer. This book was released on 2005-06-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.

Author : Michael Beenstock
Publisher : Springer
ISBN 13 : 3030036146
Total Pages : 280 pages
Book Rating : 4.40/5 ( download)

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Download or read book The Econometric Analysis of Non-Stationary Spatial Panel Data written by Michael Beenstock and published by Springer. This book was released on 2019-03-27 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.