Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model PDF Download
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Author | : Søren Johansen |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model Book in PDF, ePub and Kindle
Author | : Søren Johansen |
Publisher | : Oxford University Press, USA |
Total Pages | : 280 |
Release | : 1995 |
Genre | : Business & Economics |
ISBN | : 0198774508 |
Download Likelihood-based Inference in Cointegrated Vector Autoregressive Models Book in PDF, ePub and Kindle
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author | : Søren Johansen |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Likelihood Inference for a Fractionally Conitegrated Vector Autoregressive Model Book in PDF, ePub and Kindle
Author | : Soren Johansen |
Publisher | : |
Total Pages | : 278 |
Release | : |
Genre | : |
ISBN | : |
Download Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Book in PDF, ePub and Kindle
Author | : Lutz Kilian |
Publisher | : Cambridge University Press |
Total Pages | : 757 |
Release | : 2017-11-23 |
Genre | : Business & Economics |
ISBN | : 1107196574 |
Download Structural Vector Autoregressive Analysis Book in PDF, ePub and Kindle
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author | : Michael Binder |
Publisher | : |
Total Pages | : 80 |
Release | : 2000 |
Genre | : Autoregression (Statistics) |
ISBN | : |
Download Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration Book in PDF, ePub and Kindle
Author | : Federico Carlini |
Publisher | : |
Total Pages | : 40 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model Book in PDF, ePub and Kindle
We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in comparison to the model of Johansen (2008, 2009) (FCVAR). Both models generate the same class of processes, but the properties of the two models are different. First, opposed to the model of Johansen (2008, 2009), the model of Avarucci has a convenient nesting structure, which allows for testing the number of lags and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and hence might be attractive for econometric practice. Second, we find that the model of Avarucci (2007) is almost free from identification problems, contrary to the model of Johansen (2008, 2009) and Johansen and Nielsen (2012), which identification problems are discussed in Carlini and Santucci de Magistris (2017). However, due to a larger number of parameters, the estimation of the FECM model of Avarucci (2007) turns out to be more complicated. Therefore, we propose a 4-step estimation procedure for this model that is based on the switching algorithm employed in Carlini and Mosconi (2014), together with the GLS procedure of Mosconi and Paruolo (2014). We check the performance of the proposed estimation procedure in finite samples by means of a Monte Carlo experiment and we prove the asymptotic distribution of the estimators of all the parameters. The solution of the model has been previously derived in Avarucci (2007), while testing for the rank has been discussed in Lasak and Velasco (for cointegration strength >0.5) and Avarucci and Velasco (for cointegration strength
Author | : Søren Johansen |
Publisher | : |
Total Pages | : |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Likelihood Inference for a Nonstationary Fractional Autoregressive Model Book in PDF, ePub and Kindle
Author | : Zopounidis, Constantin |
Publisher | : IGI Global |
Total Pages | : 385 |
Release | : 2020-02-07 |
Genre | : Business & Economics |
ISBN | : 1799824381 |
Download Recent Advances and Applications in Alternative Investments Book in PDF, ePub and Kindle
In recent years, there has been a swell of investment opportunities in contemporary asset classes that have gained considerable attention, including cryptocurrencies, hedge funds, and private equity. These alternative investments provide the opportunity to enhance the diversification of financial portfolios and harvest risk premiums that traditional assets like stocks and bonds fail to provide. The emergence of these new properties has created the need to further understand the mechanics, risks, and returns of alternative investments. Recent Advances and Applications in Alternative Investments is a pivotal reference source that provides vital research on the emergence and development of complementary asset classes in the field of finance and investment. While highlighting topics such as carbon emission markets, renewable energy, and digital currencies, this publication explores modern investment strategies as well as the latest products and new types of risk. This book is ideally designed for managers, strategists, accountants, financial professionals, economists, brokers, investors, business practitioners, policymakers, researchers, and academicians seeking current research on contemporary developments in investment strategies and alternative assets.
Author | : |
Publisher | : ScholarlyEditions |
Total Pages | : 1229 |
Release | : 2013-05-01 |
Genre | : Business & Economics |
ISBN | : 149010688X |
Download Issues in General Economic Research and Application: 2013 Edition Book in PDF, ePub and Kindle
Issues in General Economic Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Theoretical Economics. The editors have built Issues in General Economic Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Theoretical Economics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.