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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


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