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Analysis of panel data / / Cheng Hsiao [[electronic resource]]
| Analysis of panel data / / Cheng Hsiao [[electronic resource]] |
| Autore | Hsiao Cheng <1943-> |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2003 |
| Descrizione fisica | 1 online resource (xiv, 366 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/5195 |
| Collana | Econometric Society monographs |
| Soggetto topico |
Econometrics
Panel analysis Analysis of variance |
| ISBN |
1-316-08580-5
1-280-16297-X 0-511-06140-4 0-511-12101-6 1-139-14866-4 0-511-05507-2 0-511-32657-2 0-511-75420-5 0-511-06986-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Introduction; CHAPTER 2 Analysis of Covariance; CHAPTER 3 Simple Regression with Variable Intercepts; CHAPTER 4 Dynamic Models with Variable Intercepts; CHAPTER 5 Simultaneous-Equations Models; CHAPTER 6 Variable-Coefficient Models; CHAPTER 7 Discrete Data; CHAPTER 8 Truncated and Censored Data; CHAPTER 9 Incomplete Panel Data; CHAPTER 10 Miscellaneous Topics; CHAPTER 11 A Summary View; Notes; References; Author Index; Subject Index |
| Record Nr. | UNINA-9910450016103321 |
Hsiao Cheng <1943->
|
||
| Cambridge : , : Cambridge University Press, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysis of panel data / / Cheng Hsiao [[electronic resource]]
| Analysis of panel data / / Cheng Hsiao [[electronic resource]] |
| Autore | Hsiao Cheng <1943-> |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2003 |
| Descrizione fisica | 1 online resource (xiv, 366 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/5195 |
| Collana | Econometric Society monographs |
| Soggetto topico |
Econometrics
Panel analysis Analysis of variance |
| ISBN |
1-316-08580-5
1-280-16297-X 0-511-06140-4 0-511-12101-6 1-139-14866-4 0-511-05507-2 0-511-32657-2 0-511-75420-5 0-511-06986-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Introduction; CHAPTER 2 Analysis of Covariance; CHAPTER 3 Simple Regression with Variable Intercepts; CHAPTER 4 Dynamic Models with Variable Intercepts; CHAPTER 5 Simultaneous-Equations Models; CHAPTER 6 Variable-Coefficient Models; CHAPTER 7 Discrete Data; CHAPTER 8 Truncated and Censored Data; CHAPTER 9 Incomplete Panel Data; CHAPTER 10 Miscellaneous Topics; CHAPTER 11 A Summary View; Notes; References; Author Index; Subject Index |
| Record Nr. | UNINA-9910783113403321 |
|
Hsiao Cheng <1943->
|
||
| Cambridge : , : Cambridge University Press, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysis of panel data / / Cheng Hsiao
| Analysis of panel data / / Cheng Hsiao |
| Autore | Hsiao Cheng <1943-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Cambridge ; ; New York, : Cambridge University Press, 2003 |
| Descrizione fisica | 1 online resource (xiv, 366 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/5195 |
| Collana | Econometric Society monographs |
| Soggetto topico |
Econometrics
Panel analysis Analysis of variance |
| ISBN |
1-316-08580-5
1-280-16297-X 0-511-06140-4 0-511-12101-6 1-139-14866-4 0-511-05507-2 0-511-32657-2 0-511-75420-5 0-511-06986-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Series-title; Title; Copyright; Dedication; Contents; Preface to the Second Edition; Preface to the First Edition; CHAPTER 1 Introduction; CHAPTER 2 Analysis of Covariance; CHAPTER 3 Simple Regression with Variable Intercepts; CHAPTER 4 Dynamic Models with Variable Intercepts; CHAPTER 5 Simultaneous-Equations Models; CHAPTER 6 Variable-Coefficient Models; CHAPTER 7 Discrete Data; CHAPTER 8 Truncated and Censored Data; CHAPTER 9 Incomplete Panel Data; CHAPTER 10 Miscellaneous Topics; CHAPTER 11 A Summary View; Notes; References; Author Index; Subject Index |
| Record Nr. | UNINA-9910828559003321 |
|
Hsiao Cheng <1943->
|
||
| Cambridge ; ; New York, : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysis of panels and limited dependent variable models : in honour of G.S. Maddala / / edited by Cheng Hsiao [and others] [[electronic resource]]
| Analysis of panels and limited dependent variable models : in honour of G.S. Maddala / / edited by Cheng Hsiao [and others] [[electronic resource]] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 1999 |
| Descrizione fisica | 1 online resource (x, 338 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/5195 |
| Soggetto topico |
Econometrics
Panel analysis |
| ISBN |
1-107-11568-X
1-280-16188-4 0-511-11708-6 0-511-04012-1 0-511-15588-3 0-511-32894-X 0-511-49314-2 0-511-05105-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A note on left censoring / Takeshi Amemiya -- Autoregressive models with sample selectivity for panel data / Manuel Arellano, Olympia Bover, Jose M. Labeaga -- Mixture of normals probit models / John Geweke, Michael Keane -- Estimation of dynamic limited-dependent rational expectations models / Lung-Fei Lee -- A Monte Carlo study of EC estimation in panel data models with limited dependent variables and heterogeneity / Mahmoud A. El-Gamal, David M. Grether -- Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth / Marc Nerlove -- Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables / Seung Chan Ahn, Peter Schmidt -- Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors / Jan F. Kiviet -- Re-examining the rational expectations hypothesis using panel data on multi-period forecasts / Anthony Davies, Kajal Lahiri -- Prediction from the regression model with one-way error components / Richard T. Baillie, Badi H. Baltagi -- Bayes estimation of short-run coefficients in dynamic panel data models / Cheng Hsiao, M. Hashem Pesaran, A. Kamil Tahmiscioglu -- Bias reduction in estimating long-run relationships from dynamic heterogeneous panels / M. Hashem Pesaran, Zhongyun Zhao. |
| Altri titoli varianti | Analysis of Panels & Limited Dependent Variable Models |
| Record Nr. | UNINA-9910449783903321 |
| Cambridge : , : Cambridge University Press, , 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysis of panels and limited dependent variable models : in honour of G.S. Maddala / / edited by Cheng Hsiao [and others] [[electronic resource]]
| Analysis of panels and limited dependent variable models : in honour of G.S. Maddala / / edited by Cheng Hsiao [and others] [[electronic resource]] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 1999 |
| Descrizione fisica | 1 online resource (x, 338 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/5195 |
| Soggetto topico |
Econometrics
Panel analysis |
| ISBN |
1-107-11568-X
1-280-16188-4 0-511-11708-6 0-511-04012-1 0-511-15588-3 0-511-32894-X 0-511-49314-2 0-511-05105-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A note on left censoring / Takeshi Amemiya -- Autoregressive models with sample selectivity for panel data / Manuel Arellano, Olympia Bover, Jose M. Labeaga -- Mixture of normals probit models / John Geweke, Michael Keane -- Estimation of dynamic limited-dependent rational expectations models / Lung-Fei Lee -- A Monte Carlo study of EC estimation in panel data models with limited dependent variables and heterogeneity / Mahmoud A. El-Gamal, David M. Grether -- Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth / Marc Nerlove -- Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables / Seung Chan Ahn, Peter Schmidt -- Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors / Jan F. Kiviet -- Re-examining the rational expectations hypothesis using panel data on multi-period forecasts / Anthony Davies, Kajal Lahiri -- Prediction from the regression model with one-way error components / Richard T. Baillie, Badi H. Baltagi -- Bayes estimation of short-run coefficients in dynamic panel data models / Cheng Hsiao, M. Hashem Pesaran, A. Kamil Tahmiscioglu -- Bias reduction in estimating long-run relationships from dynamic heterogeneous panels / M. Hashem Pesaran, Zhongyun Zhao. |
| Altri titoli varianti | Analysis of Panels & Limited Dependent Variable Models |
| Record Nr. | UNINA-9910777347803321 |
| Cambridge : , : Cambridge University Press, , 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysis of panels and limited dependent variable models : in honour of G.S. Maddala / / edited by Cheng Hsiao ... [et.al.]
| Analysis of panels and limited dependent variable models : in honour of G.S. Maddala / / edited by Cheng Hsiao ... [et.al.] |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge, [U.K.], : Cambridge University Press, 1999 |
| Descrizione fisica | 1 online resource (x, 338 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/5195 |
| Altri autori (Persone) | HsiaoCheng <1943-> |
| Soggetto topico |
Econometrics
Panel analysis |
| ISBN |
1-107-11568-X
1-280-16188-4 0-511-11708-6 0-511-04012-1 0-511-15588-3 0-511-32894-X 0-511-49314-2 0-511-05105-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A note on left censoring / Takeshi Amemiya -- Autoregressive models with sample selectivity for panel data / Manuel Arellano, Olympia Bover, Jose M. Labeaga -- Mixture of normals probit models / John Geweke, Michael Keane -- Estimation of dynamic limited-dependent rational expectations models / Lung-Fei Lee -- A Monte Carlo study of EC estimation in panel data models with limited dependent variables and heterogeneity / Mahmoud A. El-Gamal, David M. Grether -- Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth / Marc Nerlove -- Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables / Seung Chan Ahn, Peter Schmidt -- Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors / Jan F. Kiviet -- Re-examining the rational expectations hypothesis using panel data on multi-period forecasts / Anthony Davies, Kajal Lahiri -- Prediction from the regression model with one-way error components / Richard T. Baillie, Badi H. Baltagi -- Bayes estimation of short-run coefficients in dynamic panel data models / Cheng Hsiao, M. Hashem Pesaran, A. Kamil Tahmiscioglu -- Bias reduction in estimating long-run relationships from dynamic heterogeneous panels / M. Hashem Pesaran, Zhongyun Zhao. |
| Record Nr. | UNINA-9910827861303321 |
| Cambridge, [U.K.], : Cambridge University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymptotic theory for econometricians / / Halbert White
| Asymptotic theory for econometricians / / Halbert White |
| Autore | White Halbert |
| Pubbl/distr/stampa | Orlando, Florida ; ; London, [England] : , : Academic Press, Inc. : , : Academic Press, Inc. (London) Ltd., , 1984 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina |
330.015195
330/.01/5195 |
| Collana | Economic Theory, Econometrics, and Mathematical Economics |
| Soggetto topico | Econometrics - Asymptotic theory |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-4832-9442-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Asymptotic Theory for Econometricians; Copyright Page; Dedication; Table of Contents; Preface; CHAPTER I. The Linear Model and Instrumental Variables Estimators; Text; References; For Further Reading; CHAPTER II. Consistency; II.1 Limits; II.2 Almost Sure Convergence; II.3 Convergence in Probability; II.4 Convergence in rth Mean; References; CHAPTER III. Laws of Large Numbers; III.1 Independent Identically Distributed Observations; III.2 Independent Heterogeneously Distributed Observations; III.3 Dependent Identically Distributed Observations
III.4 Dependent Heterogeneously Distributed ObservationsIII.5 Martingale Difference Sequences; References; CHAPTER IV. Asymptotic Normality; IV.1 Convergence in Distribution; IV.2 Hypothesis Testing; IV.3 Asymptotic Efficiency; References; CHAPTER V. Central Limit Theory; V.1 Independent Identically Distributed Observations; V.2 Independent Heterogeneously Distributed Observations; V.3 Dependent Identically Distributed Observations; V.4 Dependent Heterogeneously Distributed Observations; V.5 Martingale Difference Sequences; References; CHAPTER VI. Estimating Asymptotic Covariance Matrices VI.1 General Structure of VnVI.2 Case 1: Ωn (Block) Diagonal; VI.3 Case 2: Ωn (Block) Band Diagonal; VI.4 Case 3: General Case; References; CHAPTER VII. Efficient Estimation with Estimated Error Covariance Matrices; VII.1 General Results; VII.2 Case 1: Contemporaneous Covariance; VII.3 Case 2: Heteroskedasticity; VII.4 Case 3: Serial Correlation; References; CHAPTER VIII. Directions For Further Study; VIII.1 Extensions of the Linear Model; VIII.2 Nonlinear Models; VIII.3 Other Estimation Techniques; VIII.4 Model Misspecification; References; Solution Set; Index |
| Record Nr. | UNINA-9910481014503321 |
|
White Halbert
|
||
| Orlando, Florida ; ; London, [England] : , : Academic Press, Inc. : , : Academic Press, Inc. (London) Ltd., , 1984 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymptotic theory for econometricians / / Halbert White
| Asymptotic theory for econometricians / / Halbert White |
| Autore | White Halbert |
| Pubbl/distr/stampa | Orlando, Florida ; ; London, [England] : , : Academic Press, Inc. : , : Academic Press, Inc. (London) Ltd., , 1984 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina |
330.015195
330/.01/5195 |
| Collana | Economic Theory, Econometrics, and Mathematical Economics |
| Soggetto topico | Econometrics - Asymptotic theory |
| ISBN | 1-4832-9442-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Asymptotic Theory for Econometricians; Copyright Page; Dedication; Table of Contents; Preface; CHAPTER I. The Linear Model and Instrumental Variables Estimators; Text; References; For Further Reading; CHAPTER II. Consistency; II.1 Limits; II.2 Almost Sure Convergence; II.3 Convergence in Probability; II.4 Convergence in rth Mean; References; CHAPTER III. Laws of Large Numbers; III.1 Independent Identically Distributed Observations; III.2 Independent Heterogeneously Distributed Observations; III.3 Dependent Identically Distributed Observations
III.4 Dependent Heterogeneously Distributed ObservationsIII.5 Martingale Difference Sequences; References; CHAPTER IV. Asymptotic Normality; IV.1 Convergence in Distribution; IV.2 Hypothesis Testing; IV.3 Asymptotic Efficiency; References; CHAPTER V. Central Limit Theory; V.1 Independent Identically Distributed Observations; V.2 Independent Heterogeneously Distributed Observations; V.3 Dependent Identically Distributed Observations; V.4 Dependent Heterogeneously Distributed Observations; V.5 Martingale Difference Sequences; References; CHAPTER VI. Estimating Asymptotic Covariance Matrices VI.1 General Structure of VnVI.2 Case 1: Ωn (Block) Diagonal; VI.3 Case 2: Ωn (Block) Band Diagonal; VI.4 Case 3: General Case; References; CHAPTER VII. Efficient Estimation with Estimated Error Covariance Matrices; VII.1 General Results; VII.2 Case 1: Contemporaneous Covariance; VII.3 Case 2: Heteroskedasticity; VII.4 Case 3: Serial Correlation; References; CHAPTER VIII. Directions For Further Study; VIII.1 Extensions of the Linear Model; VIII.2 Nonlinear Models; VIII.3 Other Estimation Techniques; VIII.4 Model Misspecification; References; Solution Set; Index |
| Record Nr. | UNINA-9910786793703321 |
|
White Halbert
|
||
| Orlando, Florida ; ; London, [England] : , : Academic Press, Inc. : , : Academic Press, Inc. (London) Ltd., , 1984 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymptotic theory for econometricians / / Halbert White
| Asymptotic theory for econometricians / / Halbert White |
| Autore | White Halbert |
| Pubbl/distr/stampa | Orlando, Florida ; ; London, [England] : , : Academic Press, Inc. : , : Academic Press, Inc. (London) Ltd., , 1984 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina |
330.015195
330/.01/5195 |
| Collana | Economic Theory, Econometrics, and Mathematical Economics |
| Soggetto topico | Econometrics - Asymptotic theory |
| ISBN | 1-4832-9442-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Asymptotic Theory for Econometricians; Copyright Page; Dedication; Table of Contents; Preface; CHAPTER I. The Linear Model and Instrumental Variables Estimators; Text; References; For Further Reading; CHAPTER II. Consistency; II.1 Limits; II.2 Almost Sure Convergence; II.3 Convergence in Probability; II.4 Convergence in rth Mean; References; CHAPTER III. Laws of Large Numbers; III.1 Independent Identically Distributed Observations; III.2 Independent Heterogeneously Distributed Observations; III.3 Dependent Identically Distributed Observations
III.4 Dependent Heterogeneously Distributed ObservationsIII.5 Martingale Difference Sequences; References; CHAPTER IV. Asymptotic Normality; IV.1 Convergence in Distribution; IV.2 Hypothesis Testing; IV.3 Asymptotic Efficiency; References; CHAPTER V. Central Limit Theory; V.1 Independent Identically Distributed Observations; V.2 Independent Heterogeneously Distributed Observations; V.3 Dependent Identically Distributed Observations; V.4 Dependent Heterogeneously Distributed Observations; V.5 Martingale Difference Sequences; References; CHAPTER VI. Estimating Asymptotic Covariance Matrices VI.1 General Structure of VnVI.2 Case 1: Ωn (Block) Diagonal; VI.3 Case 2: Ωn (Block) Band Diagonal; VI.4 Case 3: General Case; References; CHAPTER VII. Efficient Estimation with Estimated Error Covariance Matrices; VII.1 General Results; VII.2 Case 1: Contemporaneous Covariance; VII.3 Case 2: Heteroskedasticity; VII.4 Case 3: Serial Correlation; References; CHAPTER VIII. Directions For Further Study; VIII.1 Extensions of the Linear Model; VIII.2 Nonlinear Models; VIII.3 Other Estimation Techniques; VIII.4 Model Misspecification; References; Solution Set; Index |
| Record Nr. | UNINA-9910812509203321 |
|
White Halbert
|
||
| Orlando, Florida ; ; London, [England] : , : Academic Press, Inc. : , : Academic Press, Inc. (London) Ltd., , 1984 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Causality, integration and cointegration, and long memory : collected papers of Clive W.J. Granger / / edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson
| Causality, integration and cointegration, and long memory : collected papers of Clive W.J. Granger / / edited by Eric Ghysels, Norman R. Swanson, Mark W. Watson |
| Autore | Granger C. W. J (Clive William John), <1934-2009.> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge ; ; New York, : Cambridge University Press, 2001 |
| Descrizione fisica | 1 online resource (xviii, 378 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/5195 |
| Altri autori (Persone) |
GhyselsEric <1956->
SwansonNorman R <1964-> (Norman Rasmus) WatsonMark W |
| Collana |
Econometric Society monographs
Essays in econometrics |
| Soggetto topico |
Econometrics
Economics |
| ISBN |
1-139-88285-6
1-280-16035-7 1-139-14681-5 0-511-11903-8 0-511-06725-9 0-511-06094-7 0-511-29763-7 0-511-75397-7 0-511-06938-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover -- Half-title -- Series-title -- Title -- Copyright -- Dedication -- Contents -- Acknowledgments -- ACADEMIC PRESS -- AMERICAN STATISTICAL ASSOCIATION -- BLACKWELL PUBLISHERS -- BUREAU OF THE CENSUS -- CAMBRIDGE UNIVERSITY PRESS -- CHARTERED INSTITUTION OF WATER AND ENVIRONMENTAL MANAGEMENT -- THE ECONOMETRICS SOCIETY -- ELSEVIER -- FEDERAL RESERVE BANK OF MINNEAPOLIS -- HELBING AND LICHTENHAHN VERLAG -- JOHN WILEY & -- SONS, LTD. -- MACMILLAN PUBLISHERS, LTD. -- MIT PRESS -- TAYLOR & -- FRANCIS, LTD. -- Contributors -- Introduction -- Volume I -- SPECTRAL METHODS -- SEASONALITY -- NONLINEARITY -- METHODOLOGY -- FORECASTING -- Volume II -- CAUSALITY -- INTEGRATION AND COINTEGRATION -- LONG MEMORY -- REFERENCES -- PART ONE CAUSALITY -- CHAPTER 1 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods -- I. SPECTRAL METHODS -- II. FEEDBACK MODELS -- III. CAUSALITY -- IV. TWO-VARIABLE MODELS -- V. THREE-VARIABLE MODELS -- VI. CONCLUSION -- REFERENCES -- CHAPTER 2 Testing for Causality -- 1. THE PROBLEM AND A DEFINITION -- 2. A VARIETY OF VIEWPOINTS ON CAUSALITY -- 3. AN OPERATIONAL DEFINITION -- 4. SOME DIFFICULTIES -- 5. TEST PROCEDURES -- 6. DISCUSSION AND CONCLUSIONS -- REFERENCES -- CHAPTER 3 Some Recent Developments in A Concept of Causality -- 1. INTRODUCTION -- 2. CO-INTEGRATION AND CAUSATION -- 3. INSTANTANEOUS CAUSALITY -- 4. CAUSALITY AND CONTROL VARIABLES -- REFERENCES -- CHAPTER 4 Advertising and Aggregate Consumption: An Analysis of Causality -- 1. INTRODUCTION -- 2. PREVIOUS STUDIES -- 3. TESTING FOR CAUSALITY -- 4. THE DATA -- 5. EMPIRICAL RESULTS -- 6. CONCLUSIONS -- APPENDIX -- REFERENCES -- PART TWO INTEGRATION AND COINTEGRATION -- CHAPTER 5 Spurious Regressions in Econometrics -- 1. INTRODUCTION -- 2. SOME RESULTS IN TIME SERIES ANALYSIS -- 3. HOW NONSENSE REGRESSIONS CAN ARISE.
4. SOME SIMULATION RESULTS -- 5. DISCUSSION AND CONCLUSION -- REFERENCES -- CHAPTER 6 Some Properties of Time Series Data and Their Use in Econometric Model Specification -- 1. INTRODUCTION -- 2. INTEGRATED SERIES AND FILTERS -- 3. THE ALGEBRA OF INTEGRATED SERIES AND IT'S IMPLICATIONS -- 4. CO-INTEGRATED SERIES -- 5. CONCLUSION -- REFERENCES -- CHAPTER 7 Time Series Analysis of Error-Correction Models -- 1. INTRODUCTION -- 2. THE ONE-WAY CAUSAL MODEL -- 3. MULTI-COMPONENT CO-INTEGRATED SERIES -- 4. THE BIVARIATE FEEDBACK CASE -- 5. AGGREGATION -- 6. TESTING FOR CO-INTEGRATION -- 7. APPLICATION 1: EMPLOYEES' INCOME AND NATIONAL INCOME -- 8. APPLICATION 2. M3 AND GNP -- 9. APPLICATION 3. PRICES, WAGES AND PRODUCTIVITY IN THE TRANSPORTATION INDUSTRY -- 10. CONCLUSIONS -- APPENDIX 1. FRACTIONAL INTEGRATED SERIES -- APPENDIX 2. ERROR CORRECTION AND SEASONALITY -- REFERENCES -- CHAPTER 8 Co-Integration and Error Correction: Representation, Estimation, and Testing -- 1. INTRODUCTION -- 2. INTEGRATION, CO-INTEGRATION, AND ERROR CORRECTION -- 3. PROPERTIES OF CO-INTEGRATED VARIABLES AND THEIR REPRESENTATIONS -- 4. ESTIMATING CO-INTEGRATED SYSTEMS -- 5. TESTING FOR CO-INTEGRATION -- 6. EXAMPLES -- 7. CONCLUSION -- REFERENCES -- CHAPTER 9 Developments in the Study of Cointegrated Economic Variables -- 1. INTRODUCTION -- 2. COINTEGRATION -- 3. TESTING FOR COINTEGRATION -- 4. GENERALISATION: MANY VARIABLES AND GENERAL COINTEGRATION -- 5. FURTHER GENERALIZATIONS -- 6. CONCLUSION -- REFERENCES -- CHAPTER 10 Seasonal Integration and Cointegration -- 1. INTRODUCTION -- 2. SEASONAL TIME-SERIES PROCESSES -- 3. TESTING FOR SEASONAL UNIT ROOTS -- 4. ERROR-CORRECTION REPRESENTATION -- 5. TESTING FOR COINTEGRATION: AN APPLICATION -- 6. CONCLUSION -- REFERENCES -- CHAPTER 11 A Cointegration Analysis of Treasury Bill Yields -- 1. INTRODUCTION -- 2. THEORETICAL FRAMEWORK. A. Theory of the Term Structure -- B. Integration and Cointegration within the Term Structure -- C. Modeling Cointegrated Data -- 3. THE DATA -- 4. THE EMPIRICAL EVIDENCE -- A. Time Series Properties of Individual Yields -- B. Cointegration Analysis -- C. Error Correction Models -- D. Forecasts -- 5. CONCLUSION -- REFERENCES -- CHAPTER 12 Estimation of Common Long-Memory Components in Cointegrated Systems -- 1. FACTOR MODEL -- 2. ESTIMATION AND TESTING -- 3. APPLICATIONS -- 3.1 Consumption and GNP, Dividends and Stock Prices -- 3.2 Interest Rates in Canada and the United States -- 4. CONCLUSION -- ACKNOWLEDGMENTS -- APPENDIX: PROOFS OF THE MAIN RESULTS -- REFERENCES -- CHAPTER 13 Separation in Cointegrated Systems and Persistent-Transitory Decompositions -- 1. INTRODUCTION -- 2. DEFINITION OF THE CONCEPTS -- 2.1 Notions of Separation in Cointegrated Systems -- 2.2 P-T Decomposition of a Vector Time Series -- 3. PERSISTENT-TRANSITORY DECOMPOSITION IN SEPARATED COINTEGRATING SYSTEMS -- 3.1 Erroneously Treating Non- and Partially-separated Systems as Completely Separated -- 3.2 Partial Separation and P-T Decomposition of the Full System -- 4. EXTENSIONS TO NON-LINEAR ERROR CORRECTION MODELS -- 5. CONCLUSION -- REFERENCES -- CHAPTER 14 Nonlinear Transformations of Integrated Time Series -- 1. INTRODUCTION -- 2. UNIT ROOT TESTS ON TRANSFORMED SERIES -- 3. COINTEGRATED VARIABLES -- 4. CONCLUSIONS -- ACKNOWLEDGEMENTS -- REFERENCES -- CHAPTER 15 Long Memory Series with Attractors -- 1. INTRODUCTION -- 2. SHORT AND LONG MEMORY -- 3. BIVARIATE ATTRACTOR -- 4. ESTIMATION OF THE ATTRACTOR -- 5. TESTING FOR AN ATTRACTOR -- 6. AN APPLICATION -- 7. CONCLUSION -- REFERENCES -- CHAPTER 16 Further Developments in the Study of Cointegrated Variables -- 1. INTRODUCTION -- 2. SIMPLE GENERALIZATIONS -- 3. NONLINEAR GENERALIZATIONS -- 4. CURRENT INTERPRETATIONS. 5. EXAMPLE OF NONLINEAR ERROR-CORRECTION -- 6. EARLY WARNINGS, FRAGILITY AND THE FUTURE -- REFERENCES -- PART THREE LONG MEMORY -- CHAPTER 17 An Introduction to Long-Memory Time Series Models and Fractional Differencing -- 1. ON DIFFERENCING TIME SERIES -- 2. TIME SERIES PROPERTIES -- 4. FORECASTING AND ESTIMATION OF d -- 5. PRACTICAL EXPERIENCE -- APPENDIX: THE d = 0 CASE -- REFERENCES -- CHAPTER 18 Long Memory Relationships and the Aggregation of Dynamic Models -- 1. INTRODUCTION -- 2. AGGREGATION OF INDEPENDENT SERIES -- 3. AGGREGATION OF DEPENDENT SERIES -- 4. SOME OTHER MODELS -- 5. CONCLUSION -- REFERENCES -- CHAPTER 19 A Long Memory Property of Stock Market Returns and a New Model -- 1. INTRODUCTION -- 2. THE DATA -- 3. AUTOCORRELATION ANALYSIS OF THE RETURN SERIES -- 4. SENSITIVITY OF AUTOCORRELATION STRUCTURE -- 5. MONTE-CARLO STUDY OF VARIOUS FINANCIAL TIME SERIES MODELS -- 6. A NEW MODEL - ASYMMETRIC POWER ARCH -- 6. CONCLUSION -- APPENDIX A -- APPENDIX B. CONDITIONS FOR THE EXISTENCE OF… -- REFERENCES -- Index. |
| Record Nr. | UNINA-9910828467003321 |
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Granger C. W. J (Clive William John), <1934-2009.>
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| Cambridge ; ; New York, : Cambridge University Press, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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