Inference On Long Run Equilibrium Relationship In Economic Time Series PDF Download
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Author | : Hahn Shik Lee |
Publisher | : |
Total Pages | : 256 |
Release | : 1990 |
Genre | : Equilibrium (Economics) |
ISBN | : |
Download Inference on Long-run Equilibrium Relationship in Economic Time Series Book in PDF, ePub and Kindle
Author | : Øyvind Eitrheim |
Publisher | : |
Total Pages | : 41 |
Release | : 1990 |
Genre | : |
ISBN | : 9788275530101 |
Download Testing Long Run Relationships Between Economic Time Series Using Likelihood-based Inference on Cointegration Book in PDF, ePub and Kindle
Author | : Anindya Banerjee |
Publisher | : Oxford University Press |
Total Pages | : 344 |
Release | : 1993-05-27 |
Genre | : Business & Economics |
ISBN | : 0191638919 |
Download Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data Book in PDF, ePub and Kindle
This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Author | : Christian Kascha |
Publisher | : |
Total Pages | : 97 |
Release | : 2007 |
Genre | : Econometrics |
ISBN | : |
Download Three Essays in Time Series Econometrics Book in PDF, ePub and Kindle
Author | : Jean-Marie Dufour |
Publisher | : |
Total Pages | : 28 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download Short Run and Long Run Causality in Time Series Book in PDF, ePub and Kindle
Author | : Helmut Lütkepohl |
Publisher | : Springer Science & Business Media |
Total Pages | : 792 |
Release | : 2007-07-26 |
Genre | : Business & Economics |
ISBN | : 9783540262398 |
Download New Introduction to Multiple Time Series Analysis Book in PDF, ePub and Kindle
This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Author | : Van-Nam Huynh |
Publisher | : Springer |
Total Pages | : 626 |
Release | : 2015-12-28 |
Genre | : Technology & Engineering |
ISBN | : 3319272845 |
Download Causal Inference in Econometrics Book in PDF, ePub and Kindle
This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.
Author | : John Hunter |
Publisher | : Springer |
Total Pages | : 508 |
Release | : 2017-05-08 |
Genre | : Business & Economics |
ISBN | : 113731303X |
Download Multivariate Modelling of Non-Stationary Economic Time Series Book in PDF, ePub and Kindle
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 | : Janet M. Box-Steffensmeier |
Publisher | : Cambridge University Press |
Total Pages | : 297 |
Release | : 2014-12-22 |
Genre | : Mathematics |
ISBN | : 0521871166 |
Download Time Series Analysis for the Social Sciences Book in PDF, ePub and Kindle
This book provides instruction and examples of the core methods in time series econometrics, drawing from several main fields of the social sciences.
Author | : J. Hidalgo |
Publisher | : |
Total Pages | : |
Release | : 2002 |
Genre | : Economics |
ISBN | : |
Download Improved Inference in Econometric Analysis of Long Memory Time Series Book in PDF, ePub and Kindle