Testing Of Unit Roots And Other Fractionally Integrated Hypotheses In The Presence Of Structural Breaks PDF Download
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Author | : Luis A. Gil-Alaña |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Testing of Unit Roots and Other Fractionally Integrated Hypotheses in the Presence of Structural Breaks Book in PDF, ePub and Kindle
Author | : In Choi |
Publisher | : Cambridge University Press |
Total Pages | : 301 |
Release | : 2015-05-07 |
Genre | : Business & Economics |
ISBN | : 1316300587 |
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, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.
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 | : Junsoo Lee |
Publisher | : |
Total Pages | : 304 |
Release | : 1991 |
Genre | : Autocorrelation (Statistics) |
ISBN | : |
Download Unit Root Tests in the Presence of Autocorrelated Errors and Structural Change Book in PDF, ePub and Kindle
Author | : Josep Lluís Carrion-i-Silvestre |
Publisher | : |
Total Pages | : 0 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Joint Hypothesis Specification for Unit Root Tests with a Structural Break Book in PDF, ePub and Kindle
Several tests based on a t-ratio have been proposed in the literature to decide the order of integration of a time series allowing for a structural break. However, another approach based on testing a joint hypothesis of unit root and the irrelevance of some nuisance parameters is also feasible. This paper proposes new unit root tests consistent with the presence of a structural break applying this second perspective. Our approach deals both with the case where the break is not allowed under the null hypothesis, and where it is allowed. Simulations investigate the performance of this proposal compared to the existing tests and show important gains in terms of power.
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 | : 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.
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 | : André Descôteaux |
Publisher | : |
Total Pages | : 182 |
Release | : 1994 |
Genre | : Business cycles |
ISBN | : |
Download Testing for Unit Roots in the Presence of Two Structural Breaks Book in PDF, ePub and Kindle
Author | : Ercan Uygur |
Publisher | : Türkiye Ekonomi Kurumu |
Total Pages | : 2118 |
Release | : 2018-12-31 |
Genre | : Business & Economics |
ISBN | : 9758958216 |
Download TURKISH ECONOMIC ASSOCIATION INTERNATIONAL CONFERENCE ON ECONOMICS ICE-TEA 2018 Book in PDF, ePub and Kindle