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| Author | : Peter Reinhard Hansen |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 178 |
| Release | : 1998 |
| Genre | : Business & Economics |
| ISBN | : 9780198776086 |
Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis.
| Author | : Søren Johansen |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 280 |
| Release | : 1995 |
| Genre | : Business & Economics |
| ISBN | : 0198774508 |
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 | : Peter Hansen |
| Publisher | : |
| Total Pages | : 160 |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
| 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 | : Richard I. D. Harris |
| Publisher | : Prentice Hall |
| Total Pages | : 176 |
| Release | : 1995 |
| Genre | : Business & Economics |
| ISBN | : 9780133558920 |
Cointegration has become an essential tool for applied economists wanting to estimate time series models. Without some form of testing for cointegration, non-stationary variables can lead to spurious regressions; this book introduces the student and practitioner to (co)integration testing and techniques at a very moderate technical level. The book's aim is a practical one: testing for (co)integration is explained thoroughly and with plenty of examples and there is an emphasis throughout on explaining how these tests are actually performed. Key Features: 'toolkit' approach with an emphasis on practice and the actual tests used, covers the Engle-Granger procedure, covers the Johansen technique, overview of structural VAR modelling, advanced and difficult concepts presented in technical boxes, thus preserving the flow of exposition, and boxed examples throughout. Though the material is presented non-technically, the reader will find that the book covers in detail those techniques that are now becoming standard in the literature. Readers are also taken through examples using relevant software such as PcFiml and Cats (in Rats).
| Author | : John D. Levendis |
| Publisher | : Springer |
| Total Pages | : 409 |
| Release | : 2019-01-31 |
| Genre | : Business & Economics |
| ISBN | : 3319982826 |
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 | : Anindya Banerjee |
| Publisher | : |
| Total Pages | : |
| Release | : 2003 |
| Genre | : Econometric models |
| ISBN | : |
| 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 | : Frank J. Fabozzi |
| Publisher | : John Wiley & Sons |
| Total Pages | : 433 |
| Release | : 2014-03-04 |
| Genre | : Business & Economics |
| ISBN | : 1118727231 |
An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
| Author | : James H. Stock |
| Publisher | : Prentice Hall |
| Total Pages | : 0 |
| Release | : 2015 |
| Genre | : Econometrics |
| ISBN | : 9780133486872 |
For courses in Introductory Econometrics Engaging applications bring the theory and practice of modern econometrics to life. Ensure students grasp the relevance of econometrics with Introduction to Econometrics-the text that connects modern theory and practice with motivating, engaging applications. The Third Edition Update maintains a focus on currency, while building on the philosophy that applications should drive the theory, not the other way around. This program provides a better teaching and learning experience-for you and your students. Here's how: Personalized learning with MyEconLab-recommendations to help students better prepare for class, quizzes, and exams-and ultimately achieve improved comprehension in the course. Keeping it current with new and updated discussions on topics of particular interest to today's students. Presenting consistency through theory that matches application. Offering a full array of pedagogical features. Note: You are purchasing a standalone product; MyEconLab does not come packaged with this content. If you would like to purchase both the physical text and MyEconLab search for ISBN-10: 0133595420 ISBN-13: 9780133595420. That package includes ISBN-10: 0133486877 /ISBN-13: 9780133486872 and ISBN-10: 0133487679/ ISBN-13: 9780133487671. MyEconLab is not a self-paced technology and should only be purchased when required by an instructor.
