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| 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.
| Author | : Bhaskara B. Rao |
| Publisher | : Springer |
| Total Pages | : 247 |
| Release | : 2016-07-27 |
| Genre | : Business & Economics |
| ISBN | : 1349235296 |
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.
| Author | : Pierre Perron |
| Publisher | : MDPI |
| Total Pages | : 167 |
| Release | : 2018-04-13 |
| Genre | : Electronic book |
| ISBN | : 3038428116 |
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics
| Author | : Bernhard Pfaff |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 193 |
| Release | : 2008-09-03 |
| Genre | : Business & Economics |
| ISBN | : 0387759670 |
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
| Author | : Badi H. Baltagi |
| Publisher | : Elsevier |
| Total Pages | : 351 |
| Release | : 2000 |
| Genre | : Business & Economics |
| ISBN | : 0762306882 |
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.
| Author | : Peter Fuleky |
| Publisher | : Springer Nature |
| Total Pages | : 716 |
| Release | : 2019-11-28 |
| Genre | : Business & Economics |
| ISBN | : 3030311503 |
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
| Author | : Michael Binder |
| Publisher | : |
| Total Pages | : 80 |
| Release | : 2000 |
| Genre | : Autoregression (Statistics) |
| ISBN | : |
| Author | : Eric Zivot |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 632 |
| Release | : 2013-11-11 |
| Genre | : Business & Economics |
| ISBN | : 0387217630 |
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
| Author | : Peter Hackl |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 377 |
| Release | : 2013-06-29 |
| Genre | : Business & Economics |
| ISBN | : 3662068249 |
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
| Author | : Lászlo Mátyás |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 966 |
| Release | : 2008-04-06 |
| Genre | : Business & Economics |
| ISBN | : 3540758925 |
This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
