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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 | : 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 | : Pierre Perron |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : 9783038428121 |
Unit Roots and Structural Breaks.
| 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 | : 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 | : Charbel Bassil |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
In this paper, we review the recent econometric methods related to unit root tests. The central idea is the interaction between structural breaks and unit roots. We consider the standard Dickey-Fuller test and its modifications that allow under the alternative hypothesis one or multiple structural breaks. The break dates are endogenous and the number of breaks may be unknown. We investigate the size and power of these tests. Thus we consider the problem of estimating the number of structural breaks and the problem of estimating the break dates. A second type of test is reviewed, the LM unit root tests that allow under the null and the alternative hypothesis one or two unknown breaks. We also discuss the tests of structural breaks built for a stationary variables. We distinguish two types of tests: tests for a single break and tests for multiple breaks.
| Author | : Paramsothy Silvapulle |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 1995 |
| Genre | : Monte Carlo method |
| ISBN | : |
| Author | : Panchanan Das |
| Publisher | : Springer Nature |
| Total Pages | : 565 |
| Release | : 2019-09-05 |
| Genre | : Business & Economics |
| ISBN | : 9813290196 |
This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
| Author | : Uwe Hassler |
| Publisher | : |
| Total Pages | : 31 |
| Release | : 2001 |
| Genre | : |
| ISBN | : 9783935058292 |
| 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.
