Testing For Unit Roots In Panel Time Series Models With Multiple Level Breaks PDF Download
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Author | : Joakim Westerlund |
Publisher | : |
Total Pages | : 0 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Testing for Unit Roots in Panel Time-Series Models with Multiple Level Breaks Book in PDF, ePub and Kindle
This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks in the level of the data. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple procedure based on outlier detection is proposed. The limiting distributions of the tests are derived and evaluated in small samples using simulation experiments. The implementation of the tests is illustrated using as an example purchasing power parity.
Author | : Joakim Westerlund |
Publisher | : |
Total Pages | : 29 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Testing for Unit Roots in Panel Time Series Models with Multiple Breaks Book in PDF, ePub and Kindle
Author | : In Choi |
Publisher | : Cambridge University Press |
Total Pages | : 301 |
Release | : 2015-05-12 |
Genre | : Business & Economics |
ISBN | : 1107097339 |
Download Almost All About Unit Roots Book in PDF, ePub and Kindle
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Author | : Chris Brooks |
Publisher | : Cambridge University Press |
Total Pages | : 752 |
Release | : 2008-05-22 |
Genre | : Business & Economics |
ISBN | : 1139472305 |
Download Introductory Econometrics for Finance Book in PDF, ePub and Kindle
This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Author | : Pierre Perron |
Publisher | : MDPI |
Total Pages | : 167 |
Release | : 2018-04-13 |
Genre | : Business & Economics |
ISBN | : 3038428116 |
Download Unit Roots and Structural Breaks Book in PDF, ePub and Kindle
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
Author | : John D. Levendis |
Publisher | : Springer |
Total Pages | : 409 |
Release | : 2019-01-31 |
Genre | : Business & Economics |
ISBN | : 3319982826 |
Download Time Series Econometrics Book in PDF, ePub and Kindle
In this book, the author rejects the theorem-proof approach as much as possible, and emphasize the practical application of econometrics. They show with examples how to calculate and interpret the numerical results. This book begins with students estimating simple univariate models, in a step by step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual results from hugely influential papers such as those by Granger and Newbold, and Nelson and Plosser. Readers will learn about structural breaks by replicating papers by Perron, and Zivot and Andrews. They then turn to models of conditional volatility, replicating papers by Bollerslev. Finally, students estimate multi-equation models such as vector autoregressions and vector error-correction mechanisms, replicating the results in influential papers by Sims and Granger. The book contains many worked-out examples, and many data-driven exercises. While intended primarily for graduate students and advanced undergraduates, practitioners will also find the book useful.
Author | : Pierre Perron |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : 9783038428121 |
Download Unit Roots and Structural Breaks Book in PDF, ePub and Kindle
Unit Roots and Structural Breaks.
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/.
Author | : Paramsothy Silvapulle |
Publisher | : |
Total Pages | : 30 |
Release | : 1995 |
Genre | : Monte Carlo method |
ISBN | : |
Download Unit Root Tests and Structural Breaks Book in PDF, ePub and Kindle
Author | : G. S. Maddala |
Publisher | : Cambridge University Press |
Total Pages | : 528 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780521587822 |
Download Unit Roots, Cointegration, and Structural Change Book in PDF, ePub and Kindle
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.