## Unit‐Root Asymptotic Theories (I)

*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:
- 10.1093/0198773536.003.0004
- Subject:
- Economics and Finance, Econometrics

This chapter introduces extended asymptotic theories on the unit root developed in Fuller (1976), Dickey and Fuller (1979), Phillips (1987), and Phillips and Perron (1988) among others. The theories ... More

## Cointegration and Modelling the Long Run

*Simon Price*

### in Research Strategies in the Social Sciences: A Guide to New Approaches

- Published in print:
- 1998
- Published Online:
- November 2003
- ISBN:
- 9780198292371
- eISBN:
- 9780191600159
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198292376.003.0008
- Subject:
- Political Science, Reference

Extending the regression model to the analysis of non‐stationary, or trended, data. The examples demonstrate the application of unit root methodology, Engle‐Granger co‐integration procedures, and ... More

## Unit Root Inference

*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/9780198773122.003.0006
- Subject:
- Economics and Finance, Econometrics

This chapter examines the application of the unit root hypothesis in econometric analysis, particularly in the Bayesian inference approach. It explains that testing for a unit root in a Bayesian ... More

## Testing for a Unit Root

*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:
- 10.1093/0198288107.003.0004
- Subject:
- Economics and Finance, Econometrics

Methods of testing for a unit root in an observed series are described in this chapter. Both parametric regression tests and non‐parametric adjustments to these test statistics are considered, and ... More

## Properties of seasonal time series

*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.003.0002
- Subject:
- Economics and Finance, Econometrics

Chapter 2 aims to convince the reader that economic time series show marked seasonality and an obvious trend, and, foremost, that the patterns of these trends and seasonal fluctuations do not seem to ... More

## Bayesian Inference in Dynamic Econometric Models

*Luc Bauwens, Michel Lubrano, and Jean-François Richard*

- Published in print:
- 2000
- Published Online:
- September 2011
- ISBN:
- 9780198773122
- eISBN:
- 9780191695315
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198773122.001.0001
- Subject:
- Economics and Finance, Econometrics

This book contains an up-to-date coverage of the last twenty years of advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in ... More

## Trends and Breaking Points of the Bayesian Econometric Literature

*Luc Bauwens and Michel Lubrano*

### in Economics Beyond the Millennium

- Published in print:
- 1999
- Published Online:
- November 2003
- ISBN:
- 9780198292111
- eISBN:
- 9780191596537
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198292112.003.0016
- Subject:
- Economics and Finance, Macro- and Monetary Economics, Microeconomics

The authors recall the basic differences of view between classical and Bayesian analysis and note that the dispute among statisticians has not been exactly reflected in econometrics. Starting with a ... More

## Time-Series-Based Econometrics: Unit Roots and Co-integrations

*Michio Hatanaka*

- Published in print:
- 1996
- Published Online:
- November 2003
- ISBN:
- 9780198773535
- eISBN:
- 9780191596360
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198773536.001.0001
- Subject:
- Economics and Finance, Econometrics

This book presents the most recent development in econometrics, namely the unit-root field including error correction and co-integration. It explains statistical procedures in detail, and emphasizes ... More

## Properties of Integrated Processes

*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:
- 10.1093/0198288107.003.0003
- Subject:
- Economics and Finance, Econometrics

Presents the important properties of integrated variables and sets out some of the preliminary asymptotic theories essential for the consideration of such processes. It explores the concepts of unit ... More

## Bayesian Discrimination

*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:
- 10.1093/0198773536.003.0010
- Subject:
- Economics and Finance, Econometrics

This chapter reviews Bayesian studies of the unit root. It identifies three different categories of discrimination that have emerged in Bayesian unit-root literature, where stationarity is ... More

## Unit‐Root Asymptotic Theories (II)

*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:
- 10.1093/0198773536.003.0006
- Subject:
- Economics and Finance, Econometrics

This chapter brings together three unrelated topics of asymptotic theories. It presents a mathematical analysis of tests on the case where {Δxt} is i.i.d., possibly with a non-zero mean. It explains ... More

## Econometric Tools and Techniques

*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:
- 10.1093/0198283164.003.0003
- Subject:
- Economics and Finance, Econometrics

Least squares and recursive methods for estimating the values of unknown parameters and the logic of testing in empirical modelling, are discussed. The tools needed for investigating the properties ... 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

## 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

## Auxiliary Modeling Procedures

*David McDowall, Richard McCleary, and Bradley J. Bartos*

### in Interrupted Time Series Analysis

- Published in print:
- 2019
- Published Online:
- February 2021
- ISBN:
- 9780190943943
- eISBN:
- 9780190943981
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780190943943.003.0005
- Subject:
- Sociology, Social Research and Statistics

Chapter 5 describes three sets of auxiliary methods that have emerged as add-on supplements to the traditional ARIMA model-building strategy. First, Bayesian information criteria (BIC) can be used to ... More

## Time Series and Panel Data Econometrics

*M. Hashem Pesaran*

- Published in print:
- 2015
- Published Online:
- March 2016
- ISBN:
- 9780198736912
- eISBN:
- 9780191800504
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780198736912.001.0001
- Subject:
- Economics and Finance, Econometrics

This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides an account of the time series techniques ... More

## Unit Root Processes

*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/9780198736912.003.0015
- Subject:
- Economics and Finance, Econometrics

This chapter compares the properties of unit root processes with stationary processes, and considers alternative ways of testing for unit roots. The discussions cover difference stationary processes; ... More

## Random Walks, Unit Roots, and Spurious Relationships

*Jeffrey S. Racine*

### in Reproducible Econometrics Using R

- Published in print:
- 2019
- Published Online:
- January 2019
- ISBN:
- 9780190900663
- eISBN:
- 9780190933647
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780190900663.003.0002
- Subject:
- Economics and Finance, Econometrics

This chapter outlines pitfalls of using standard inference procedures common in cross- sectional settings in time series settings and presents alternative procedures. It also addresses the issue of ... More

## The Art of Model Development

*Ronald K. Pearson*

### in Discrete-time Dynamic Models

- Published in print:
- 1999
- Published Online:
- November 2020
- ISBN:
- 9780195121988
- eISBN:
- 9780197561294
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780195121988.003.0010
- Subject:
- Computer Science, Mathematical Theory of Computation

The primary objective of this book has been to present a reasonably broad overview of the different classes of discrete-time dynamic models that have been proposed for empirical modeling, ... More