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Author: Peter Reinhard Hansen
Publisher: Oxford University Press, USA
Published: 1998
Total Pages: 178
ISBN-13: 9780198776086
DOWNLOAD EBOOK →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 on Demand
Published: 1995
Total Pages: 280
ISBN-13: 0198774508
DOWNLOAD EBOOK →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: Bernhard Pfaff
Publisher: Springer Science & Business Media
Published: 2008-09-03
Total Pages: 193
ISBN-13: 0387759670
DOWNLOAD EBOOK →This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author: Richard I. D. Harris
Publisher: Prentice Hall
Published: 1995
Total Pages: 176
ISBN-13: 9780133558920
DOWNLOAD EBOOK →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: Bhaskara B. Rao
Publisher: Springer
Published: 2016-07-27
Total Pages: 247
ISBN-13: 1349235296
DOWNLOAD EBOOK →`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 M. Robinson
Publisher: Advanced Texts in Econometrics
Published: 2003
Total Pages: 396
ISBN-13: 9780199257300
DOWNLOAD EBOOK →Long memory time series are characterized by a strong dependence between distant events.
Author: Michael McAleer
Publisher: Wiley-Blackwell
Published: 1999-08-03
Total Pages: 284
ISBN-13: 9780631211983
DOWNLOAD EBOOK →The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.
Author: John D. Levendis
Publisher: Springer
Published: 2019-01-31
Total Pages: 409
ISBN-13: 3319982826
DOWNLOAD EBOOK →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.
