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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


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