Recent Developments In Cointegration
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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 | : Katarina Juselius |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : 9783038429562 |
Recent Developments in Cointegration.
Author | : Katarina Juselius (Ed.) |
Publisher | : |
Total Pages | : |
Release | : |
Genre | : |
ISBN | : |
Author | : Gilles Dufrénot |
Publisher | : Springer Science & Business Media |
Total Pages | : 319 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1475736150 |
This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Author | : Gilles Dufrenot |
Publisher | : |
Total Pages | : 332 |
Release | : 2014-09-01 |
Genre | : |
ISBN | : 9781475736168 |
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 | : Jean-Marie Dufour |
Publisher | : Springer Science & Business Media |
Total Pages | : 248 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 3642487424 |
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Author | : Juan José Dolado Lobregad |
Publisher | : |
Total Pages | : 0 |
Release | : 1987 |
Genre | : |
ISBN | : |
Author | : Juan José Dolado |
Publisher | : |
Total Pages | : 49 |
Release | : 1987 |
Genre | : Economics |
ISBN | : 9788450571042 |
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.