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Finite Sample Econometrics

Aman Ullah

Published in print:
2004
Published Online:
August 2004
ISBN:
9780198774471
eISBN:
9780191601347
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198774478.001.0001
Subject:
Economics and Finance, Econometrics

This book presents a comprehensive and unified treatment of finite sample theory, and its application to estimators and test statistics used in various econometric models. Time series, cross section, ... More


Panel Data Econometrics

Manuel Arellano

Published in print:
2003
Published Online:
July 2005
ISBN:
9780199245284
eISBN:
9780191602481
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199245282.001.0001
Subject:
Economics and Finance, Econometrics

This book reviews some of the main topics in panel data econometrics. It analyses econometric models with non-exogenous explanatory variables, and the problem of distinguishing between dynamic ... More


Covariance Structures for Dynamic Error Components

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:
10.1093/0199245282.003.0005
Subject:
Economics and Finance, Econometrics

This chapter analyses the time series properties of panel data sets, focusing on short panels. It discusses time effects and moving average covariances. It presents estimates of covariance structures ... More


T. N. Thiele's contributions to statistics 77

A. Hald

in Thiele: Pioneer in Statistics

Published in print:
2002
Published Online:
September 2007
ISBN:
9780198509721
eISBN:
9780191709197
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198509721.003.0005
Subject:
Mathematics, Probability / Statistics

This chapter presents a reprint of Hald (1981), containing a detailed discussion of Thiele's contributions to statistics and a brief summary of some of his contributions to other areas. Topics ... More


Non-Linear Time Series Models

Luc Bauwens, Michel Lubrano, and Jean-François Richard

in Bayesian Inference in Dynamic Econometric Models

Published in print:
2000
Published Online:
September 2011
ISBN:
9780198773122
eISBN:
9780191695315
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198773122.003.0008
Subject:
Economics and Finance, Econometrics

This chapter examines non-linear time series models in relation to the Bayesian inference approach in econometric analysis. There are two types of models which are quite different for the treatment ... 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


Conclusion

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:
10.1093/0198288107.003.0009
Subject:
Economics and Finance, Econometrics

The final chapter summarizes the main themes of the book, and considers the invariance of the matrix of co‐integrating vectors in a linear system under both linear transformations and seasonal ... More


Introduction

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:
10.1093/0198774478.003.0001
Subject:
Economics and Finance, Econometrics

This introductory chapter begins with a brief discussion on the importance of finite sample econometrics. The developments in this area are described. An overview of the chapters in this volume is ... More


Illustrations of the use of the linear model

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0008
Subject:
Mathematics, Probability / Statistics

This chapter discusses examples which show how the use of the linear model works in practice. The first example is an analysis of road accident data to estimate the reduction in car drivers killed ... More


Attribution Analysis

Nanne Brunia and Auke Plantinga

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0022
Subject:
Economics and Finance, Financial Economics

This chapter discusses performance attribution models allowing the observer to identify market timing and security selection skills of portfolio managers. The focus is on holdings-based models ... More


The development of a time series methodology: from recursive residuals to dynamic conditional score models

Andrew Harvey

in Unobserved Components and Time Series Econometrics

Published in print:
2015
Published Online:
January 2016
ISBN:
9780199683666
eISBN:
9780191763298
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683666.003.0002
Subject:
Economics and Finance, Econometrics

This chapter discusses the developments in unobserved components time series models and their statistical and econometric treatments from the early 1970s to the present day.


Consistent Testing of Functional Form in Time Series Models

James Davidson and Andreea G. Halunga

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0002
Subject:
Economics and Finance, Econometrics

We develop a consistent procedure for testing the adequacy of parametric time series models. The approach is to extend Herman Bierens’s idea of examining the covariances between regression residuals ... More


Reforming the Labour Market in Good and Bad Times: Any Differences?

Britta Gehrke and Enzo Weber

in The Political Economy of Structural Reforms in Europe

Published in print:
2018
Published Online:
August 2018
ISBN:
9780198821878
eISBN:
9780191861000
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198821878.003.0005
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter discusses how the effects of structural labour market reforms depend on whether the economy is in expansion or recession. Based on an empirical time series model with Markov switching ... More


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