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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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