How to Deal with Structural Breaks in Practical Cointegration Analysis
| Author | : Roselyne Joyeux |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 2001 |
| Genre | : Cointegration |
| ISBN | : 9781864086492 |
How To Deal With Structural Breaks In Practical Cointegration Analysis
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Unit Roots and Structural Breaks
| Author | : Pierre Perron |
| Publisher | : MDPI |
| Total Pages | : 167 |
| Release | : 2018-04-13 |
| Genre | : Business & Economics |
| ISBN | : 3038428116 |
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Cointegration Analysis with Structural Breaks and Deterministic Trends
| Author | : Maxym Chaban |
| Publisher | : |
| Total Pages | : 37 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
This paper applies recent developments in cointegration analysis with structural breaks and deterministic trends to analyze the relationship between the real Canada-U.S. exchange rate and commodity prices. Previous empirical studies disagree on whether these variables are cointegrated. The root of disagreement could be in the handling of deterministic trends and potential structural breaks. I find that even after controlling for these matters the question of whether the real exchange rate and commodity prices are cointegrated for Canada remains unresolved.
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.
Unit Roots, Cointegration, and Structural Change
| Author | : G. S. Maddala |
| Publisher | : Cambridge University Press |
| Total Pages | : 528 |
| Release | : 1998 |
| Genre | : Business & Economics |
| ISBN | : 9780521587822 |
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Three Essays in Application of Cointegration Analysis with Exogenous Variables and Structural Breaks
| Author | : Poomthan Rangkakulnuwat |
| Publisher | : |
| Total Pages | : 284 |
| Release | : 2005 |
| Genre | : Cointegration |
| ISBN | : |
Time Series Econometrics
| Author | : Pierre Perron |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : Econometrics |
| ISBN | : 9789813237896 |
Part I. Unit roots and trend breaks -- Part II. Structural change
Testing the Null of Cointegration with Structural Breaks
| Author | : Josep Lluís Carrion-i-Silvestre |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non-cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.
Cointegration For The Applied Economist
| Author | : B Bhaskara Rao (Ed.) |
| Publisher | : Allied Publishers |
| Total Pages | : 254 |
| Release | : 1997 |
| Genre | : |
| ISBN | : 9788170237211 |
Encyclopedia of Business Analytics and Optimization
| Author | : Wang, John |
| Publisher | : IGI Global |
| Total Pages | : 2862 |
| Release | : 2014-02-28 |
| Genre | : Business & Economics |
| ISBN | : 1466652039 |
As the age of Big Data emerges, it becomes necessary to take the five dimensions of Big Data- volume, variety, velocity, volatility, and veracity- and focus these dimensions towards one critical emphasis - value. The Encyclopedia of Business Analytics and Optimization confronts the challenges of information retrieval in the age of Big Data by exploring recent advances in the areas of knowledge management, data visualization, interdisciplinary communication, and others. Through its critical approach and practical application, this book will be a must-have reference for any professional, leader, analyst, or manager interested in making the most of the knowledge resources at their disposal.
