Practical Issues In Cointegration Analysis
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Practical Issues in Cointegration Analysis
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.
How to Deal with Structural Breaks in Practical Cointegration Analysis
Author | : Roselyne Joyeux |
Publisher | : |
Total Pages | : 11 |
Release | : 2001 |
Genre | : Cointegration |
ISBN | : 9781864086492 |
Workbook on Cointegration
Author | : Peter Reinhard Hansen |
Publisher | : Oxford University Press, USA |
Total Pages | : 178 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780198776086 |
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
Using Cointegration Analysis in Econometric Modelling
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).
Modelling Non-Stationary Economic Time Series
Author | : S. Burke |
Publisher | : Springer |
Total Pages | : 253 |
Release | : 2005-06-14 |
Genre | : Business & Economics |
ISBN | : 0230005780 |
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.
Recent Developments in Cointegration
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