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Periodic Time Series Models

Philip Hans Franses and Richard Paap

Published in print:
2004
Published Online:
August 2004
ISBN:
9780199242023
eISBN:
9780191601286
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/019924202X.001.0001
Subject:
Economics and Finance, Econometrics

This book considers periodic time series models for seasonal data, characterized by parameters that differ across the seasons, and focuses on their usefulness for out-of-sample forecasting. Providing ... More


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


Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.001.0001
Subject:
Economics and Finance, Econometrics

This book provides a comprehensive description of the state-of-the-art in macroeconometric modelling and describes the ‘long-run structural modelling approach’ applied to the modelling of national ... More


Econometric methods: A review

Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

in Global and National Macroeconometric Modelling: A Long-Run Structural Approach

Published in print:
2006
Published Online:
September 2006
ISBN:
9780199296859
eISBN:
9780191603853
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199296855.003.0006
Subject:
Economics and Finance, Econometrics

This chapter briefly reviews the econometric methods needed for the empirical analysis of cointegrating VAR models and the associated impulse response functions, including new materials (on the ... More


Multivariate periodic time series models

Philip Hans Franses and Richard Paap

in Periodic Time Series Models

Published in print:
2004
Published Online:
August 2004
ISBN:
9780199242023
eISBN:
9780191601286
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019924202X.003.0005
Subject:
Economics and Finance, Econometrics

In Chapter 5 we extend all material in Chapter 4 of the book to the case of more than a single time series. It turns out that in principle it is easy to extend univariate periodic models, by simply ... 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


Basic Definitions and Concepts

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:
10.1093/0198774508.003.0003
Subject:
Economics and Finance, Econometrics

We give the basic definitions of integration, cointegration, common trends, and attractor set in the framework of linear processes. We define the concept I(d) of a process integrated of order d. The ... More


Postscript: The Econometrics of PC‐GIVE

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:
10.1093/0198293542.003.0020
Subject:
Economics and Finance, Econometrics

The model class is summarized in terms of the properties of specific linear models, including cointegration and equilibrium (error) correction. Model evaluation is based on the associated information ... More


Dynamics and Interdependence

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:
10.1093/0198283164.003.0004
Subject:
Economics and Finance, Econometrics

When two time series are integrated but not causally related, conventional tests reject up to 80% under the null, at a 5% nominal level. This ‘nonsense regressions’ phenomenon is analysed, and ... More


The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Jennifer Castle and Neil Shephard (eds)

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.001.0001
Subject:
Economics and Finance, Econometrics

David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is extensive. This book is a collection of original research in ... More


When is a Time‐Series I(0)? *

James Davidson

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0013
Subject:
Economics and Finance, Econometrics

This chapter surveys the extensive recent literature on the problems of deciding what is meant by an I(0) process, and then deciding how to test for the property. A formidable difficulty exists in ... More


Does it Matter How to Measure Aggregates? The Case of Monetary Transmission Mechanisms in the Euro Area *

Andreas Beyer and Katarina Juselius

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0015
Subject:
Economics and Finance, Econometrics

Beyer, Doornik, and Hendry (2000, 2001) show analytically that three out of four aggregation methods yield problematic results when exchange rate shifts induce relative-price changes between ... More


Constructive Data Mining: Modelling Argentine Broad Money Demand *

Neil R. Ericsson and Steven B. Kamin

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0017
Subject:
Economics and Finance, Econometrics

This chapter assesses the empirical merits of PcGets and Autometrics — two recent algorithms for computer-automated model selection — using them to improve upon Kamin and Ericsson's (1993) model of ... More


Factor‐augmented Error Correction Models *

Anindya Banerjee and Massimiliano Marcellino

in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199237197
eISBN:
9780191717314
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199237197.003.0009
Subject:
Economics and Finance, Econometrics

This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction ... More


Consumption Behaviour in the US

Rohit

in It's Not Over: Structural Drivers of the Global Economic Crisis

Published in print:
2013
Published Online:
January 2013
ISBN:
9780198088417
eISBN:
9780199082292
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198088417.003.0008
Subject:
Economics and Finance, Macro- and Monetary Economics

Chapter 8 tests the hypotheses made in the theoretical models of Chapter 5 and Chapter 6 on the wealth effect and the debt effect on consumption using advanced econometric methods. Since ... More


Non-Linear Cointegration in Foreign Exchange

Bernt P. Stigum

in Econometrics in a Formal Science of Economics: Theory and the Measurement of Economic Relations

Published in print:
2014
Published Online:
September 2015
ISBN:
9780262028585
eISBN:
9780262323109
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262028585.003.0008
Subject:
Economics and Finance, Econometrics

Chapter VIII presents a novel mathematical theory of non-linear cointegration among second-order random processes. It begins by explaining why the accepted characterization of integrated second-order ... More


11 Nonlinear and nonstationary 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/9780199587148.003.0011
Subject:
Economics and Finance, Econometrics

Long memory, unit root models and cointegration are important in linear modelling of nonstationary processes, not the least in econometrics. Recently, nonlinear generalizations of these concepts have ... More


Unit Roots and Cointegration in 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/9780198736912.003.0031
Subject:
Economics and Finance, Econometrics

This chapter reviews the theoretical literature on testing for unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large. The ... More


Evolving Polysemy of Structural Parameters

Qin Duo

in A History of Econometrics: The Reformation from the 1970s

Published in print:
2013
Published Online:
September 2013
ISBN:
9780199679348
eISBN:
9780191758416
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679348.003.0008
Subject:
Economics and Finance, Econometrics, History of Economic Thought

This chapter examines various shifts in the specification and interpretation of structural parameters to illustrate the methodological confusions in econometrics. It traces the origin of the ... More


Cointegration Analysis

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/9780198736912.003.0022
Subject:
Economics and Finance, Econometrics

This chapter provides an overview of the econometric methods used in long-run structural macroeconometric modelling. It first introduces the concept of cointegration for a set of time series ... More


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