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Cointegration and Modelling the Long Run

Simon Price

in Research Strategies in the Social Sciences: A Guide to New Approaches

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198292371
eISBN:
9780191600159
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198292376.003.0008
Subject:
Political Science, Reference

Extending the regression model to the analysis of non‐stationary, or trended, data. The examples demonstrate the application of unit root methodology, Engle‐Granger co‐integration procedures, and ... More


Dynamic Econometrics

David F. Hendry

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198283164
eISBN:
9780191596384
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198283164.001.0001
Subject:
Economics and Finance, Econometrics

This systematic and integrated framework for econometric modelling is organized in terms of three levels of knowledge: probability, estimation, and modelling. All necessary concepts of econometrics ... More


Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David Hendry

Published in print:
1993
Published Online:
November 2003
ISBN:
9780198288107
eISBN:
9780191595899
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198288107.001.0001
Subject:
Economics and Finance, Econometrics

This book considers the econometric analysis of both stationary and non‐stationary processes, which may be linked by equilibrium relationships. It provides a wide‐ranging account of the main tools, ... More


Machine Learning in Non-Stationary Environments: Introduction to Covariate Shift Adaptation

Masashi Sugiyama and Motoaki Kawanabe

Published in print:
2012
Published Online:
September 2013
ISBN:
9780262017091
eISBN:
9780262301220
Item type:
book
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262017091.001.0001
Subject:
Computer Science, Machine Learning

As the power of computing has grown over the past few decades, the field of machine learning has advanced rapidly in both theory and practice. Machine learning methods are usually based on the ... More


Bayesian Discrimination

Michio Hatanaka

in Time-Series-Based Econometrics: Unit Roots and Co-integrations

Published in print:
1996
Published Online:
November 2003
ISBN:
9780198773535
eISBN:
9780191596360
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198773536.003.0010
Subject:
Economics and Finance, Econometrics

This chapter reviews Bayesian studies of the unit root. It identifies three different categories of discrimination that have emerged in Bayesian unit-root literature, where stationarity is ... More


Consumption and Permanent Income

Angus Deaton

in Understanding Consumption

Published in print:
1992
Published Online:
November 2003
ISBN:
9780198288244
eISBN:
9780191596131
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288247.003.0003
Subject:
Economics and Finance, Macro- and Monetary Economics

Discusses the permanent income hypothesis and the mechanisms by which consumption smoothing responds to short‐run changes in income. It also reviews the role played by income and expectations in ... More


The Volatility of Consumption

Angus Deaton

in Understanding Consumption

Published in print:
1992
Published Online:
November 2003
ISBN:
9780198288244
eISBN:
9780191596131
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288247.003.0004
Subject:
Economics and Finance, Macro- and Monetary Economics

Develops the themes of Ch. 3 by exploring how consumption responds to innovations in income. The focus is on the econometric enquiry and presents insights into how measured income differs from ... More


On the Time‐Series Approach to Econometric Model Building

David F. Hendry

in Econometrics: Alchemy or Science?: Essays in Econometric Methodology

Published in print:
2000
Published Online:
November 2003
ISBN:
9780198293545
eISBN:
9780191596391
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198293542.003.0006
Subject:
Economics and Finance, Econometrics

The ‘time‐series’ approach to econometrics is critically evaluated, and analytical test power response surfaces presented. Non‐stationarity, differencing and ‘error‐correction’ models (though not yet ... More


Econometric Tools and Techniques

David F. Hendry

in Dynamic Econometrics

Published in print:
1995
Published Online:
November 2003
ISBN:
9780198283164
eISBN:
9780191596384
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198283164.003.0003
Subject:
Economics and Finance, Econometrics

Least squares and recursive methods for estimating the values of unknown parameters and the logic of testing in empirical modelling, are discussed. The tools needed for investigating the properties ... More


Properties of Integrated Processes

Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry

in Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data

Published in print:
1993
Published Online:
November 2003
ISBN:
9780198288107
eISBN:
9780191595899
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288107.003.0003
Subject:
Economics and Finance, Econometrics

Presents the important properties of integrated variables and sets out some of the preliminary asymptotic theories essential for the consideration of such processes. It explores the concepts of unit ... More


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