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## 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

## Linear Transformations, Error Correction, and the Long Run in Dynamic Regression

*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:
- 10.1093/0198288107.003.0002
- Subject:
- Economics and Finance, Econometrics

The focus in this chapter is on the properties of linear autoregressive‐distributed lag (ADL) models for stationary data processes, in order to understand later transformations in non‐stationary ... 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

## Conceptual Framework of the Co‐Integration and Its Relation to Economic Theories

*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:
- 10.1093/0198773536.003.0012
- Subject:
- Economics and Finance, Econometrics

This chapter discusses co-integration and the Granger representation theorem. The theoretical structure of the Granger representation theorem is illustrated with economic interpretation by a ... More

## National and global structural macroeconometric modelling

*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:
- 10.1093/0199296855.003.0003
- Subject:
- Economics and Finance, Econometrics

This chapter describes a framework for macroeconometric modelling, which draws out the links with economic theory relating to the long run and with theory relating to the short run. It elaborates a ... 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

## 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

## Econometric Modelling of the Aggregate Time‐Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

*David F. Hendry, J. E. H. Davidson, F. Srba, and S. Yeo*

### 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:
- 10.1093/0198293542.003.0009
- Subject:
- Economics and Finance, Econometrics

Simple time‐series representations dominated quarterly permanent‐income/life‐cycle models of consumption in fit and predictive accuracy. However, an ‘error‐correction’model (ECM, using the log ... More

##
The *I*(1) Models and Their Interpretation

*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:
- 10.1093/0198774508.003.0005
- Subject:
- Economics and Finance, Econometrics

We define the basic reduced form error correction model for I(1)variables where cointegration is modelled in terms of a reduced rank hypothesis on the impact matrix. This defines the cointegrating ... 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

## Theory-Data Confrontations with Time-Series Data

*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/9780262028585.003.0006
- Subject:
- Economics and Finance, Econometrics

Chapter VI begins with a discussion of the axioms of a formal theory-data confrontation in which the data appear as vector-valued sequences of observations of a vector-valued random process. Then it ... 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

## Homes for Hawaiians

*Sumner La Croix*

### in Hawai'i: Eight Hundred Years of Political and Economic Change

- Published in print:
- 2019
- Published Online:
- September 2019
- ISBN:
- 9780226592091
- eISBN:
- 9780226592121
- Item type:
- chapter

- Publisher:
- University of Chicago Press
- DOI:
- 10.7208/chicago/9780226592121.003.0008
- Subject:
- Economics and Finance, Economic History

During this decade, native Hawaiians began to organize more effectively to demand that the territorial and federal governments take action to address their declining welfare by returning some of the ... More

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