## Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

*Søren Johansen*

- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.001.0001
- Subject:
- Economics and Finance, Econometrics

This monograph is concerned with the statistical analysis of multivariate systems of non‐stationary time series of type I(1). It applies the concepts of cointegration and common trends in the ... More

## Regression-Discontinuity and ARIMA Models

*William R. Nugent*

### in Analyzing Single System Design Data

- Published in print:
- 2009
- Published Online:
- February 2010
- ISBN:
- 9780195369625
- eISBN:
- 9780199865208
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195369625.003.0002
- Subject:
- Social Work, Research and Evaluation

This chapter covers regression-discontinuity models for analyzing the data from single case designs. Auto-regressive-integrated-moving-average models are also described and illustrated. These ... More

## A Comparison of the Michigan and Fair Models

*Ray C. Fair and Lewis S. Alexander*

### in Comparative Performance of U.S. Econometric Models

- Published in print:
- 1991
- Published Online:
- October 2011
- ISBN:
- 9780195057720
- eISBN:
- 9780199854967
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780195057720.003.0006
- Subject:
- Economics and Finance, Econometrics

This chapter compares the predictive accuracy of the Michigan and Fair econometric models using the method developed in Ray Fair. These models are compared to each other and to an eighth-order ... More

## Autoregressive Models With Individual Effects

*Manuel Arellano*

### in Panel Data Econometrics

- Published in print:
- 2003
- Published Online:
- July 2005
- ISBN:
- 9780199245284
- eISBN:
- 9780191602481
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0199245282.003.0006
- Subject:
- Economics and Finance, Econometrics

This chapter discusses the specification and estimation of autoregressive models with individual specific intercepts. It focuses on first order processes, since the main insights generalise in a ... More

## 3 Parametric nonlinear models

*Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger*

### in Modelling Nonlinear Economic Time Series

- Published in print:
- 2010
- Published Online:
- May 2011
- ISBN:
- 9780199587148
- eISBN:
- 9780191595387
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199587148.003.0003
- Subject:
- Economics and Finance, Econometrics

In this chapter, a number of most commonly applied nonlinear time series models are being considered. As opposed to the previous chapter, these models do not generally have their origin in economic ... More

## Imperfect Knowledge, Asset Price Swings, and Structural Slumps: A Cointegrated Vector Autoregressive Analysis of Their Interdependence

*Katarina Juselius*

### in Rethinking Expectations: The Way Forward for Macroeconomics

- Published in print:
- 2013
- Published Online:
- October 2017
- ISBN:
- 9780691155234
- eISBN:
- 9781400846450
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691155234.003.0011
- Subject:
- Economics and Finance, Macro- and Monetary Economics

This chapter examines the relationship between speculation in the currency markets and aggregate activity in the real economy by drawing on the Structural Slumps theory and the theory of Imperfect ... More

## The Vector Autoregressive Model

*Søren Johansen*

### in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.003.0002
- Subject:
- Economics and Finance, Econometrics

Deals with the classical statistical analysis of the unrestricted vector autoregressive model. We give a necessary and sufficient condition for stationarity and a representation for the stationary ... More

## Cointegration and Representation of Integrated Variables

*Søren Johansen*

### in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

- Published in print:
- 1995
- Published Online:
- November 2003
- ISBN:
- 9780198774501
- eISBN:
- 9780191596476
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774508.003.0004
- Subject:
- Economics and Finance, Econometrics

Contains the mathematical and algebraic results needed to understand the properties of I(1) and I(2) processes generated by autoregressive and moving average models. The basic result is Grangers ... More

## Reforming the German Civil Servant Pension Plan

*Raimond Maurer, Olivia S. Mitchell, and Ralph Rogalla*

### in The Future of Public Employee Retirement Systems

- Published in print:
- 2009
- Published Online:
- February 2010
- ISBN:
- 9780199573349
- eISBN:
- 9780191721946
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199573349.003.0009
- Subject:
- Business and Management, Public Management, Pensions and Pension Management

This chapter analyzes the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for civil servants in Germany, allowing for alternative portfolio mixes using a ... More

## Dynamic Time Series Model

*Aman Ullah*

### in Finite Sample Econometrics

- Published in print:
- 2004
- Published Online:
- August 2004
- ISBN:
- 9780198774471
- eISBN:
- 9780191601347
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774478.003.0006
- Subject:
- Economics and Finance, Econometrics

This chapter presents the finite sample analysis of the time series models used in economics and finance. It considers the autoregressive model (AR), AR with regressors, and autoregressive moving ... More

## Bayesian Inference in Dynamic Econometric Models

*Luc Bauwens, Michel Lubrano, and Jean-François Richard*

- Published in print:
- 2000
- Published Online:
- September 2011
- ISBN:
- 9780198773122
- eISBN:
- 9780191695315
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198773122.001.0001
- Subject:
- Economics and Finance, Econometrics

This book contains an up-to-date coverage of the last twenty years of advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in ... More

## Spatial variation and linear modeling of ecological data

*Simoneta Negrete-Yankelevich and Gordon A. Fox*

### in Ecological Statistics: Contemporary theory and application

- Published in print:
- 2015
- Published Online:
- April 2015
- ISBN:
- 9780199672547
- eISBN:
- 9780191796487
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199672547.003.0011
- Subject:
- Biology, Biomathematics / Statistics and Data Analysis / Complexity Studies, Ecology

Spatial variation has been often considered undesirable noise in ecological studies because many statistical methods used assume random spatial distributions. It is time to change this because ... More

## Autocorrelation

*Gidon Eshel*

### in Spatiotemporal Data Analysis

- Published in print:
- 2011
- Published Online:
- October 2017
- ISBN:
- 9780691128917
- eISBN:
- 9781400840632
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691128917.003.0008
- Subject:
- Environmental Science, Environmental Studies

This chapter discusses theoretical autocovariance, autocorrelation functions of autoregressive models of orders 1 and 2, and autocorrelation function-derived timescale. The autocorrelation function ... More

## Vector Autoregressive Models

*M. Hashem Pesaran*

### in Time Series and Panel Data Econometrics

- Published in print:
- 2015
- Published Online:
- March 2016
- ISBN:
- 9780198736912
- eISBN:
- 9780191800504
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198736912.003.0021
- Subject:
- Economics and Finance, Econometrics

This chapter illustrates vector autoregressive VAR models, with a particular focus on estimation and hypothesis testing. It discusses estimation of parameters, deterministic components, VAR order ... More

## A Crash Course in Bayesian Inference

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0003
- Subject:
- Economics and Finance, Econometrics

This chapter provides a self-contained review of Bayesian inference and decision making. It begins with a discussion of Bayesian inference for a simple autoregressive (AR) model, which takes the form ... More

## Time Series Analysis with Two or More Time Series

*Youseop Shin*

### in Time Series Analysis in the Social Sciences: The Fundamentals

- Published in print:
- 2017
- Published Online:
- September 2017
- ISBN:
- 9780520293168
- eISBN:
- 9780520966383
- Item type:
- chapter

- Publisher:
- University of California Press
- DOI:
- 10.1525/california/9780520293168.003.0006
- Subject:
- Sociology, Law, Crime and Deviance

Chapter Six explains time series analysis with one or more independent variables. The dependent variable is the monthly violent crime rates and the independent variables are unemployment rates and ... More

## Introduction to Dynamic Economic Modelling

*M. Hashem Pesaran*

### in Time Series and Panel Data Econometrics

- Published in print:
- 2015
- Published Online:
- March 2016
- ISBN:
- 9780198736912
- eISBN:
- 9780191800504
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198736912.003.0006
- Subject:
- Economics and Finance, Econometrics

Dynamic economic models typically arise as a characterization of the path of the economy around its long run equilibrium (steady states), and involve modelling expectations, learning, and adjustment ... More

## Aggregation of Large Panels

*M. Hashem Pesaran*

### in Time Series and Panel Data Econometrics

- Published in print:
- 2015
- Published Online:
- March 2016
- ISBN:
- 9780198736912
- eISBN:
- 9780191800504
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198736912.003.0032
- Subject:
- Economics and Finance, Econometrics

This chapter focuses on large N aggregation. It first briefly reviews the main aggregation problems studied in the literature. It then presents a general framework for micro/disaggregate behavioural ... More

## Non-equilibrium dynamics

*Cang Hui and David M. Richardson*

### in Invasion Dynamics

- Published in print:
- 2017
- Published Online:
- March 2017
- ISBN:
- 9780198745334
- eISBN:
- 9780191807046
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198745334.003.0005
- Subject:
- Biology, Ecology, Biomathematics / Statistics and Data Analysis / Complexity Studies

The non-equilibrium dynamics of biological invasions has revived the debate on the balance of nature and mechanisms for population regulation. Invasive species in novel environments, whether ... More

## Dynamic models

*Erik Biørn, Erik Biørn, and Erik Biørn*

### in Econometrics of Panel Data: Methods and Applications

- Published in print:
- 2016
- Published Online:
- December 2016
- ISBN:
- 9780198753445
- eISBN:
- 9780191815072
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198753445.003.0008
- Subject:
- Economics and Finance, Econometrics

The chapter considers first-order autoregressive models with individual-specific intercepts. Both the within estimator and OLS estimation of an equation in first-differences have notable deficiencies ... More