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, ...
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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, and panel data models are considered. The results are explored for linear and nonlinear models, as well as models with normal and nonnormal errors. The book contains seven chapters. Chapter 1 presents an introduction to finite sample econometrics. Chapter 2 gives methods of obtaining the moments of econometric statistics. Chapter 3 provides methods for analysing distributions. Finite sample results for various econometric models are discussed in Chapters 4-7.Less
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, and panel data models are considered. The results are explored for linear and nonlinear models, as well as models with normal and nonnormal errors. The book contains seven chapters. Chapter 1 presents an introduction to finite sample econometrics. Chapter 2 gives methods of obtaining the moments of econometric statistics. Chapter 3 provides methods for analysing distributions. Finite sample results for various econometric models are discussed in Chapters 4-7.
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 ...
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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 responses and unobserved heterogeneity in panel data models. The book is divided into three parts. Part I deals with static models. Part II discusses pure time series models. Part III considers dynamic conditional models.Less
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 responses and unobserved heterogeneity in panel data models. The book is divided into three parts. Part I deals with static models. Part II discusses pure time series models. Part III considers dynamic conditional models.
Manuel Arellano
- 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 ...
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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 and tests the permanent income hypothesis.Less
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 and tests the permanent income hypothesis.
A. Hald
- 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 ...
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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 covered include skew distributions, cumulants, estimation methods and k statistics, the linear model with normally distributed errors, analysis of variance, and a time series model combining Brownian motion and the linear model with normally distributed errors. Thiele's work is placed in a historical perspective and explained in modern terms.Less
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 covered include skew distributions, cumulants, estimation methods and k statistics, the linear model with normally distributed errors, analysis of variance, and a time series model combining Brownian motion and the linear model with normally distributed errors. Thiele's work is placed in a historical perspective and explained in modern terms.
Luc Bauwens, Michel Lubrano, and Jean-François Richard
- 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 ...
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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 of inference. The first class of models corresponds to models with a threshold while the second class has been advocated as a reasonable approximation to the disequilibrium models proposed in 1974 by Maddala and Nelson. This chapter also analyses the so-called one-market disequilibrium model.Less
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 of inference. The first class of models corresponds to models with a threshold while the second class has been advocated as a reasonable approximation to the disequilibrium models proposed in 1974 by Maddala and Nelson. This chapter also analyses the so-called one-market disequilibrium model.
Aman Ullah
- 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 ...
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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 average models with regressors. The exact and approximate moments, as well as distributions of the estimators of the lag coefficients and regression coefficients were derived and analysed.Less
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 average models with regressors. The exact and approximate moments, as well as distributions of the estimators of the lag coefficients and regression coefficients were derived and analysed.
Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David F. Hendry
- 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 ...
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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 adjustment. Next, co‐integration is related to structured time‐series models that offer an alternative approach to modelling integrated data. Further developments in the theory are described, and the book concludes by reinterpreting some old econometric problems in light of co‐integration theory.Less
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 adjustment. Next, co‐integration is related to structured time‐series models that offer an alternative approach to modelling integrated data. Further developments in the theory are described, and the book concludes by reinterpreting some old econometric problems in light of co‐integration theory.
Aman Ullah
- 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 ...
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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 then presented.Less
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 then presented.
J. Durbin and S.J. Koopman
- 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 ...
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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 and seriously injured in the UK due to the introduction of a seat belt law. The second example considers a bivariate model which includes data on numbers of front seat passengers killed and seriously injured and on numbers of rear seat passengers killed and seriously injured. The third example shows how state space methods can be applied to Box-Jenkins ARMA models employed to model series of users logged onto the Internet. The fourth example considers the state space solution to the spline smoothing of motorcycle acceleration data. The fifth example provides a dynamic factor analysis based on the linear Gaussian model for the term structure of interest rates paid on US Treasury securities.Less
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 and seriously injured in the UK due to the introduction of a seat belt law. The second example considers a bivariate model which includes data on numbers of front seat passengers killed and seriously injured and on numbers of rear seat passengers killed and seriously injured. The third example shows how state space methods can be applied to Box-Jenkins ARMA models employed to model series of users logged onto the Internet. The fourth example considers the state space solution to the spline smoothing of motorcycle acceleration data. The fifth example provides a dynamic factor analysis based on the linear Gaussian model for the term structure of interest rates paid on US Treasury securities.
Nanne Brunia and Auke Plantinga
- 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 ...
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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 because they generate more precise measurements of managers' skills than return-based models. The discussion starts with the basic attribution model and how to extend this model to accommodate internationally diversified portfolios. The basic model can also be extended to improve the precision of the measurements by allowing the user to create a risk-adjusted performance attribution without the need to run a time-series regression model. In order to capture the impact of investor timing, performance attribution models can be extended further by including a component based on the internal rate of return.Less
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 because they generate more precise measurements of managers' skills than return-based models. The discussion starts with the basic attribution model and how to extend this model to accommodate internationally diversified portfolios. The basic model can also be extended to improve the precision of the measurements by allowing the user to create a risk-adjusted performance attribution without the need to run a time-series regression model. In order to capture the impact of investor timing, performance attribution models can be extended further by including a component based on the internal rate of return.
Andrew Harvey
- 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.
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.
James Davidson and Andreea G. Halunga
- 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 ...
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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 and an exponential weight function, to check the full range of orthogonalities predicted for the score contributions in quasi-maximum likelihood estimation. Tests of this type, which involve nuisance parameters, are constructed as either "sup"ed or integrated conditional moment tests, and are often implemented using bootstrap methods. However, our emphasis in this study is on practical implementation. We study a two-statistic approach that aims to exploit the available power while keeping computing requirements to a minimum.Less
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 and an exponential weight function, to check the full range of orthogonalities predicted for the score contributions in quasi-maximum likelihood estimation. Tests of this type, which involve nuisance parameters, are constructed as either "sup"ed or integrated conditional moment tests, and are often implemented using bootstrap methods. However, our emphasis in this study is on practical implementation. We study a two-statistic approach that aims to exploit the available power while keeping computing requirements to a minimum.
Britta Gehrke and Enzo Weber
- 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 ...
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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 that draws on search and matching theory, we propose a novel identification of reform outcomes and distinguish the effects of structural reforms that increase the flexibility of the labour market in distinct phases of the business cycle. We find in applications to Germany and Spain that reforms which are implemented in recessions have weaker expansionary effects in the short run. For policymakers, these results emphasize the costs of introducing labour market reforms in recessions.Less
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 that draws on search and matching theory, we propose a novel identification of reform outcomes and distinguish the effects of structural reforms that increase the flexibility of the labour market in distinct phases of the business cycle. We find in applications to Germany and Spain that reforms which are implemented in recessions have weaker expansionary effects in the short run. For policymakers, these results emphasize the costs of introducing labour market reforms in recessions.