Using Cointegration Analysis in Econometric Modelling
Title | Using Cointegration Analysis in Econometric Modelling PDF eBook |
Author | Richard I. D. Harris |
Publisher | Prentice Hall |
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).
The Cointegrated VAR Model
Title | The Cointegrated VAR Model PDF eBook |
Author | Katarina Juselius |
Publisher | OUP Oxford |
Pages | 478 |
Release | 2006-12-07 |
Genre | Business & Economics |
ISBN | 0191622966 |
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Econometric Modelling Using I(1) and I(2) Cointegration Analysis
Title | Econometric Modelling Using I(1) and I(2) Cointegration Analysis PDF eBook |
Author | Takamitsu Kurita |
Publisher | |
Pages | 414 |
Release | 2006 |
Genre | Cointegration |
ISBN |
Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
Title | Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data PDF eBook |
Author | Anindya Banerjee |
Publisher | Oxford University Press |
Pages | 344 |
Release | 1993-05-27 |
Genre | Business & Economics |
ISBN | 0191638919 |
This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.
Applied Time Series Modelling and Forecasting
Title | Applied Time Series Modelling and Forecasting PDF eBook |
Author | Richard Harris |
Publisher | Wiley |
Pages | 316 |
Release | 2003-06-02 |
Genre | Business & Economics |
ISBN | 9780470844434 |
This book covers time series modeling and forecasting for econometrics and finance students. This new edition has been simplified for more ease of use and includes new chapters and substantial important revisions.
Econometric Analysis of Financial Markets
Title | Econometric Analysis of Financial Markets PDF eBook |
Author | Jürgen Kaehler |
Publisher | Springer Science & Business Media |
Pages | 232 |
Release | 2012-12-06 |
Genre | Business & Economics |
ISBN | 3642486665 |
This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
Econometrics and Economic Theory in the 20th Century
Title | Econometrics and Economic Theory in the 20th Century PDF eBook |
Author | Steinar Strøm |
Publisher | Cambridge University Press |
Pages | 514 |
Release | 1998 |
Genre | Business & Economics |
ISBN | 9780521633239 |
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