Cointegration For The Applied Economist
Author | : B Bhaskara Rao (Ed.) |
Publisher | : Allied Publishers |
Total Pages | : 254 |
Release | : 1997 |
Genre | : |
ISBN | : 9788170237211 |
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Author | : B Bhaskara Rao (Ed.) |
Publisher | : Allied Publishers |
Total Pages | : 254 |
Release | : 1997 |
Genre | : |
ISBN | : 9788170237211 |
Author | : B. Bhaskara Rao |
Publisher | : Palgrave Macmillan |
Total Pages | : 231 |
Release | : 1994-01-01 |
Genre | : Business & Economics |
ISBN | : 9780312121778 |
This volume of expository essays brings recent theoretical developments on unit roots and cointegration within the reach of the average applied economist. Contributors include well-known experts David Dickey, Dennis Jansen and Daniel Thornton, Phillipe Perron, Yash Mehra, Roger Perman and Dennis Holden and Glenn Otto. Their original works, some of which are published elsewhere, are now revised, extended and made more pedagogic. Data used in these works are given for replication of the original results. Methods of testing for unit roots, their implications and limitations, estimation of cointegrating relationships, consequences of testing the unit root null against an alternative of a one time break in trend, usefulness of these techniques in applied economic work and the significance of various diagnostic tests are all explained in a simple and easy to replicate manner.
Author | : Bhaskara B. Rao |
Publisher | : Springer |
Total Pages | : 247 |
Release | : 2016-07-27 |
Genre | : Business & Economics |
ISBN | : 1349235296 |
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
Author | : Richard I. D. Harris |
Publisher | : Prentice Hall |
Total Pages | : 176 |
Release | : 1995 |
Genre | : Business & Economics |
ISBN | : 9780133558920 |
Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
Author | : Katarina Juselius |
Publisher | : OUP Oxford |
Total Pages | : 478 |
Release | : 2006-12-07 |
Genre | : Business & Economics |
ISBN | : 0191622966 |
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 | : Michael McAleer |
Publisher | : Wiley-Blackwell |
Total Pages | : 284 |
Release | : 1999-08-03 |
Genre | : Business & Economics |
ISBN | : 9780631211983 |
The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Author | : Steinar Strøm |
Publisher | : Cambridge University Press |
Total Pages | : 514 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780521633239 |
Table of Contents
Author | : Katarina Juselius |
Publisher | : MDPI |
Total Pages | : 219 |
Release | : 2018-07-05 |
Genre | : Business & Economics |
ISBN | : 3038429554 |
This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics
Author | : Kerry Patterson |
Publisher | : Palgrave Macmillan |
Total Pages | : 797 |
Release | : 2000-10-13 |
Genre | : Business & Economics |
ISBN | : 9780312235130 |
Covering the essential elements of the subject of econometrics, the author also introduces and explains techniques that are now widely used in applied work, although rarely introduced in detail in non-specialist texts, such as integrated time series, cointegration, simulation analysis, Johansen's Approach to multivariate co-integration and ARCH. The author explains the central distinction between stationary and nonstationary time series, which is of crucial importance in many areas of analysis, especially in macroeconomics and financial economics.
Author | : Chia-Lin Chang |
Publisher | : MDPI |
Total Pages | : 222 |
Release | : 2019-05-13 |
Genre | : Business & Economics |
ISBN | : 3038979260 |
Although the theme of the monograph is primarily related to “Applied Econometrics”, there are several theoretical contributions that are associated with empirical examples, or directions in which the novel theoretical ideas might be applied. The monograph is associated with significant and novel contributions in theoretical and applied econometrics; economics; theoretical and applied financial econometrics; quantitative finance; risk; financial modeling; portfolio management; optimal hedging strategies; theoretical and applied statistics; applied time series analysis; forecasting; applied mathematics; energy economics; energy finance; tourism research; tourism finance; agricultural economics; informatics; data mining; bibliometrics; and international rankings of journals and academics.