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Applied time series econometrics / edited by Helmut Lutkepohl, Markus Kratzig
| Applied time series econometrics / edited by Helmut Lutkepohl, Markus Kratzig |
| Pubbl/distr/stampa | Cambridge, UK : Cambridge University Press, 2006 |
| Descrizione fisica | XXV, 323 p. ; 23 cm |
| Disciplina | 330.0151955 |
| Altri autori (Persone) |
Lutkepohl, Helmut
Kratzig, Markus |
| Collana | Themes in modern econometrics |
| Soggetto topico |
Time-series analysis - Mathematical models
Econometrics |
| ISBN | 9780521547871 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001450109707536 |
| Cambridge, UK : Cambridge University Press, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Applied time series econometrics / / edited by Helmut Lütkepohl, Markus Krätzig [[electronic resource]]
| Applied time series econometrics / / edited by Helmut Lütkepohl, Markus Krätzig [[electronic resource]] |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxv, 323 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/51955 |
| Collana | Themes in modern econometrics |
| Soggetto topico |
Time-series analysis - Mathematical models
Econometrics |
| ISBN |
1-107-71373-0
1-280-54116-4 1-139-13080-3 0-511-21560-6 0-511-21739-0 0-511-21202-X 0-511-60688-5 0-511-21379-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig. |
| Record Nr. | UNINA-9910457599103321 |
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied time series econometrics / / editors, Helmut Lütkepohl, Markus Krätzig
| Applied time series econometrics / / editors, Helmut Lütkepohl, Markus Krätzig |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xxv, 323 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/51955 |
| Collana | Themes in modern econometrics |
| Soggetto topico |
Time-series analysis - Mathematical models
Econometrics |
| ISBN |
1-107-71373-0
1-280-54116-4 1-139-13080-3 0-511-21560-6 0-511-21739-0 0-511-21202-X 0-511-60688-5 0-511-21379-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig. |
| Record Nr. | UNINA-9910784309703321 |
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied time series econometrics / / edited by Helmut Lutkepohl, Markus Kratzig
| Applied time series econometrics / / edited by Helmut Lutkepohl, Markus Kratzig |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge, UK ; ; New York, : Cambridge University Press, 2004 |
| Descrizione fisica | 1 online resource (xxv, 323 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/51955 |
| Altri autori (Persone) |
LutkepohlHelmut
KratzigMarkus <1974-> |
| Collana | Themes in modern econometrics |
| Soggetto topico |
Time-series analysis - Mathematical models
Econometrics |
| ISBN |
1-107-71373-0
1-280-54116-4 1-139-13080-3 0-511-21560-6 0-511-21739-0 0-511-21202-X 0-511-60688-5 0-511-21379-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Initial tasks and overview ; Univariate time series analysis ; Vector autoregressive and vector error correction models / Helmut Lütkepohl -- Structural vector autoregressive modeling and impulse responses / Jörg Breitung, Ralf Brüggemann, and Helmut Lütkepohl -- Conditional heteroskedasticity / Helmut Herwartz -- Smooth transition regression modeling / Timo Teräsvirta -- Nonparametric time series modeling / Rolf Tschernig -- The software JMulTi / Markus Krätzig. |
| Record Nr. | UNINA-9910809886303321 |
| Cambridge, UK ; ; New York, : Cambridge University Press, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
| Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy |
| Pubbl/distr/stampa | Boca Raton, Fla. : , : CRC Press, , 2012 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 330.01/51955 |
| Altri autori (Persone) |
BellWilliam R. <1943->
HolanScott H McElroyTucker |
| Soggetto topico |
Econometrics
Economics, Mathematical Seasonal variations (Economics) - Mathematical models Time-series analysis - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-429-06324-5
1-4398-4658-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Editors; Contributors; Part I: Periodic Modeling of Economic Time Series; 1. A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment; 2. Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing; 3. Choosing Seasonal Autocovariance Structures: PARMA or SARMA?; Part II: Estimating Time Series Components with Misspecified Models; 4. Specification and Misspecification of Unobserved Components Models; 5. Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data
6. Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey SeriesPart III: Quantifying Error in X-11 Seasonal Adjustments; 7. Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments; 8. Estimating Variance in X-11 Seasonal Adjustment; Part IV: Practical Problems in Seasonal Adjustment; 9. Asymmetric Filters for Trend-Cycle Estimation; 10. Restoring Accounting Constraints in Time Series-Methods and Software for a Statistical Agency; 11. Theoretical and Real Trading-Day Frequencies 12. Applying and Interpreting Model-Based Seasonal Adjustment-The Euro-Area Industrial Production SeriesPart V: Outlier Detection and Modeling Time Series with Extreme Values; 13. Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion; 14. Outliers in GARCH Processes; 15. Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis; Part VI: Alternative Models for Seasonal and Other Time Series Components; 16. Normally Distributed Seasonal Unit Root Tests; 17. Bayesian Seasonal Adjustment of Long Memory Time Series 18. Bayesian Stochastic Model Specification Search for Seasonal and Calendar EffectsPart VII: Modeling and Estimation for Nonseasonal Economic Time Series; 19. Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models; 20. Functional Model Selection for Sparse Binary Time Series with Multiple Inputs; 21. Models for High Lead Time Prediction |
| Record Nr. | UNINA-9910461604403321 |
| Boca Raton, Fla. : , : CRC Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
| Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy |
| Pubbl/distr/stampa | Boca Raton, Fla. : , : CRC Press, , 2012 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 330.01/51955 |
| Altri autori (Persone) |
BellWilliam R. <1943->
HolanScott H McElroyTucker |
| Soggetto topico |
Econometrics
Economics, Mathematical Seasonal variations (Economics) - Mathematical models Time-series analysis - Mathematical models |
| ISBN |
0-429-06324-5
1-4398-4658-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Editors; Contributors; Part I: Periodic Modeling of Economic Time Series; 1. A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment; 2. Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing; 3. Choosing Seasonal Autocovariance Structures: PARMA or SARMA?; Part II: Estimating Time Series Components with Misspecified Models; 4. Specification and Misspecification of Unobserved Components Models; 5. Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data
6. Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey SeriesPart III: Quantifying Error in X-11 Seasonal Adjustments; 7. Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments; 8. Estimating Variance in X-11 Seasonal Adjustment; Part IV: Practical Problems in Seasonal Adjustment; 9. Asymmetric Filters for Trend-Cycle Estimation; 10. Restoring Accounting Constraints in Time Series-Methods and Software for a Statistical Agency; 11. Theoretical and Real Trading-Day Frequencies 12. Applying and Interpreting Model-Based Seasonal Adjustment-The Euro-Area Industrial Production SeriesPart V: Outlier Detection and Modeling Time Series with Extreme Values; 13. Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion; 14. Outliers in GARCH Processes; 15. Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis; Part VI: Alternative Models for Seasonal and Other Time Series Components; 16. Normally Distributed Seasonal Unit Root Tests; 17. Bayesian Seasonal Adjustment of Long Memory Time Series 18. Bayesian Stochastic Model Specification Search for Seasonal and Calendar EffectsPart VII: Modeling and Estimation for Nonseasonal Economic Time Series; 19. Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models; 20. Functional Model Selection for Sparse Binary Time Series with Multiple Inputs; 21. Models for High Lead Time Prediction |
| Record Nr. | UNINA-9910789936903321 |
| Boca Raton, Fla. : , : CRC Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
| Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy |
| Pubbl/distr/stampa | Boca Raton, Fla. : , : CRC Press, , 2012 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 330.01/51955 |
| Altri autori (Persone) |
BellWilliam R. <1943->
HolanScott H McElroyTucker |
| Soggetto topico |
Econometrics
Economics, Mathematical Seasonal variations (Economics) - Mathematical models Time-series analysis - Mathematical models |
| ISBN |
0-429-06324-5
1-4398-4658-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Editors; Contributors; Part I: Periodic Modeling of Economic Time Series; 1. A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment; 2. Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing; 3. Choosing Seasonal Autocovariance Structures: PARMA or SARMA?; Part II: Estimating Time Series Components with Misspecified Models; 4. Specification and Misspecification of Unobserved Components Models; 5. Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data
6. Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey SeriesPart III: Quantifying Error in X-11 Seasonal Adjustments; 7. Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments; 8. Estimating Variance in X-11 Seasonal Adjustment; Part IV: Practical Problems in Seasonal Adjustment; 9. Asymmetric Filters for Trend-Cycle Estimation; 10. Restoring Accounting Constraints in Time Series-Methods and Software for a Statistical Agency; 11. Theoretical and Real Trading-Day Frequencies 12. Applying and Interpreting Model-Based Seasonal Adjustment-The Euro-Area Industrial Production SeriesPart V: Outlier Detection and Modeling Time Series with Extreme Values; 13. Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion; 14. Outliers in GARCH Processes; 15. Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis; Part VI: Alternative Models for Seasonal and Other Time Series Components; 16. Normally Distributed Seasonal Unit Root Tests; 17. Bayesian Seasonal Adjustment of Long Memory Time Series 18. Bayesian Stochastic Model Specification Search for Seasonal and Calendar EffectsPart VII: Modeling and Estimation for Nonseasonal Economic Time Series; 19. Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models; 20. Functional Model Selection for Sparse Binary Time Series with Multiple Inputs; 21. Models for High Lead Time Prediction |
| Record Nr. | UNINA-9910799902603321 |
| Boca Raton, Fla. : , : CRC Press, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy
| Economic time series : modeling and seasonality / / edited by William R. Bell, Scott H. Holan, Tucker S. McElroy |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Boca Raton, FL, : CRC Press, 2012 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina | 330.01/51955 |
| Altri autori (Persone) |
BellWilliam R. <1943->
HolanScott H McElroyTucker |
| Soggetto topico |
Econometrics
Economics, Mathematical Seasonal variations (Economics) - Mathematical models Time-series analysis - Mathematical models |
| ISBN |
0-429-06324-5
1-4398-4658-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Editors; Contributors; Part I: Periodic Modeling of Economic Time Series; 1. A Multivariate Periodic Unobserved Components Time Series Analysis for Sectoral U.S. Employment; 2. Seasonal Heteroskedasticity in Time Series Data: Modeling, Estimation, and Testing; 3. Choosing Seasonal Autocovariance Structures: PARMA or SARMA?; Part II: Estimating Time Series Components with Misspecified Models; 4. Specification and Misspecification of Unobserved Components Models; 5. Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data
6. Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey SeriesPart III: Quantifying Error in X-11 Seasonal Adjustments; 7. Comparing Mean Squared Errors of X-12-ARIMA and Canonical ARIMA Model-Based Seasonal Adjustments; 8. Estimating Variance in X-11 Seasonal Adjustment; Part IV: Practical Problems in Seasonal Adjustment; 9. Asymmetric Filters for Trend-Cycle Estimation; 10. Restoring Accounting Constraints in Time Series-Methods and Software for a Statistical Agency; 11. Theoretical and Real Trading-Day Frequencies 12. Applying and Interpreting Model-Based Seasonal Adjustment-The Euro-Area Industrial Production SeriesPart V: Outlier Detection and Modeling Time Series with Extreme Values; 13. Additive Outlier Detection in Seasonal ARIMA Models by a Modified Bayesian Information Criterion; 14. Outliers in GARCH Processes; 15. Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis; Part VI: Alternative Models for Seasonal and Other Time Series Components; 16. Normally Distributed Seasonal Unit Root Tests; 17. Bayesian Seasonal Adjustment of Long Memory Time Series 18. Bayesian Stochastic Model Specification Search for Seasonal and Calendar EffectsPart VII: Modeling and Estimation for Nonseasonal Economic Time Series; 19. Nonparametric Estimation of the Innovation Variance and Judging the Fit of ARMA Models; 20. Functional Model Selection for Sparse Binary Time Series with Multiple Inputs; 21. Models for High Lead Time Prediction |
| Record Nr. | UNINA-9910809528603321 |
| Boca Raton, FL, : CRC Press, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Elements of time series econometrics : an applied approach / / Evzen Kosenda, Alexandr Cerný
| Elements of time series econometrics : an applied approach / / Evzen Kosenda, Alexandr Cerný |
| Autore | Kosenda Evzen |
| Edizione | [Third edition.] |
| Pubbl/distr/stampa | [Prague, Czech Republic] : , : Karolinum Press, , 2015 |
| Descrizione fisica | 1 online resource (220 p.) |
| Disciplina | 519.55 |
| Soggetto topico | Time-series analysis - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 80-246-3198-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; CONTENTS; INTRODUCTION; 1. THE NATURE OF TIME SERIES; 1.1 DESCRIPTION OF TIME SERIES; 1.2 WHITE NOISE; 1.3 STATIONARITY; 1.4 TRANSFORMATIONS OF TIME SERIES; 1.5 TREND, SEASONAL, AND IRREGULAR PATTERNS; 1.6 ARMA MODELS OF TIME SERIES; 1.7 STYLIZED FACTS ABOUT TIME SERIES; 2. DIFFERENCE EQUATIONS; 2.1 LINEAR DIFFERENCE EQUATIONS; 2.2 LAG OPERATOR; 2.3 THE SOLUTION OF DIFFERENCE EQUATIONS; 2.3.1 PARTICULAR SOLUTION AND LAG OPERATORS; 2.3.2 SOLUTION BY ITERATION; 2.3.3 HOMOGENOUS SOLUTION; 2.3.4 PARTICULAR SOLUTION; 2.4 STABILITY CONDITIONS; 2.5 STABILITY AND STATIONARITY
3. UNIVARIATE TIME SERIES3.1 ESTIMATION OF AN ARMA MODEL; 3.1.1 AUTOCORRELATION FUNCTION - ACF; 3.1.2 PARTIAL AUTOCORRELATION FUNCTION - PACF; 3.1.3 Q-TESTS; 3.1.4 DIAGNOSTICS OF RESIDUALS; 3.1.5 INFORMATION CRITERIA; 3.1.6 BOX-JENKINS METHODOLOGY; 3.2 TREND IN TIME SERIES; 3.2.1 DETERMINISTIC TREND; 3.2.2 STOCHASTIC TREND; 3.2.3 STOCHASTIC PLUS DETERMINISTIC TREND; 3.2.4 ADDITIONAL NOTES ON TRENDS IN TIME SERIES; 3.3 SEASONALITY IN TIME SERIES; 3.3.1 REMOVING SEASONAL PATTERNS; 3.3.2 ESTIMATING SEASONAL PATTERNS; 3.3.3 DETECTING SEASONAL PATTERNS; 3.3.4 HODRICK-PRESCOTT FILTER 3.4 UNIT ROOTS3.4.1 DICKEY-FULLER TEST; 3.4.2 AUGMENTED DICKEY-FULLER TEST; 3.4.3 PHILLIPS-PERRON TEST; 3.4.4 SHORTCOMINGS OF THE STANDARD UNIT ROOT TESTS; 3.4.5 KPSS TEST; 3.5 UNIT ROOTS AND STRUCTURAL CHANGE; 3.5.1 PERRON'S TEST; 3.5.2 ZIVOT AND ANDREWS' TEST; 3.6 DETECTING A STRUCTURAL CHANGE; 3.6.1 SINGLE STRUCTURAL CHANGE; 3.6.2 MULTIPLE STRUCTURAL CHANGE; 3.7 NON-LINEAR STRUCTURE AND CONDITIONAL HETEROSKEDASTICITY; 3.7.1 CONDITIONAL AND UNCONDITIONAL EXPECTATIONS; 3.7.2 ARCH MODEL; 3.7.3 GARCH MODEL; 3.7.4 DETECTING CONDITIONAL HETEROSKEDASTICITY; 3.7.5 THE BDS TEST 3.7.6 AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL3.7.7 IDENTIFICATION AND ESTIMATION OF A GARCH MODEL; 3.7.8 EXTENSIONS OF ARCH-TYPE MODELS; 3.7.9 MULTIVARIATE (G)ARCH MODELS; 3.7.10 STRUCTURAL BREAKS IN VOLATILITY; 4. MULTIPLE TIME SERIES; 4.1 VAR MODELS; 4.1.1 STRUCTURAL FORM, REDUCED FORM, AND IDENTIFICATION; 4.1.2 STABILITY AND STATIONARITY OF VAR MODELS; 4.1.3 ESTIMATION OF A VAR MODEL; 4.2 GRANGER CAUSALITY; 4.3 COINTEGRATION AND ERROR CORRECTION MODELS; 4.3.1 DEFINITION OF COINTEGRATION; 4.3.2 THE ENGLE-GRANGER METHODOLOGY 4.3.3 EXTENSIONS TO THE ENGLE-GRANGER METHODOLOGY4.3.4 THE JOHANSEN METHODOLOGY; 5. PANEL DATA AND UNIT ROOT TESTS; 5.1 LEVIN, LIN, AND CHU PANEL UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND LIMITED COEFFICIENTS HETEROGENEITY; 5.2. IM, PESARAN, AND SHIN UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND HETEROGENEOUS COEFFICIENTS; 5.3 HADRI UNIT-ROOT TESTS WITHA NULL OF STATIONARITY; 5.4 BREUER, MCNOWN, AND WALLACETEST FOR CONVERGENCE; 5.5 VOGELSANG TEST FOR β-CONVERGENCE; APPENDIX A - MONTE CARLO SIMULATIONS; APPENDIX B - STATISTICAL TABLES; REFERENCES; INDEX |
| Record Nr. | UNINA-9910466154303321 |
Kosenda Evzen
|
||
| [Prague, Czech Republic] : , : Karolinum Press, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Elements of time series econometrics : an applied approach / / Evzen Kosenda, Alexandr Cerný
| Elements of time series econometrics : an applied approach / / Evzen Kosenda, Alexandr Cerný |
| Autore | Kosenda Evzen |
| Edizione | [Third edition.] |
| Pubbl/distr/stampa | [Prague, Czech Republic] : , : Karolinum Press, , 2015 |
| Descrizione fisica | 1 online resource (220 p.) |
| Disciplina | 519.55 |
| Soggetto topico | Time-series analysis - Mathematical models |
| ISBN | 80-246-3198-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; CONTENTS; INTRODUCTION; 1. THE NATURE OF TIME SERIES; 1.1 DESCRIPTION OF TIME SERIES; 1.2 WHITE NOISE; 1.3 STATIONARITY; 1.4 TRANSFORMATIONS OF TIME SERIES; 1.5 TREND, SEASONAL, AND IRREGULAR PATTERNS; 1.6 ARMA MODELS OF TIME SERIES; 1.7 STYLIZED FACTS ABOUT TIME SERIES; 2. DIFFERENCE EQUATIONS; 2.1 LINEAR DIFFERENCE EQUATIONS; 2.2 LAG OPERATOR; 2.3 THE SOLUTION OF DIFFERENCE EQUATIONS; 2.3.1 PARTICULAR SOLUTION AND LAG OPERATORS; 2.3.2 SOLUTION BY ITERATION; 2.3.3 HOMOGENOUS SOLUTION; 2.3.4 PARTICULAR SOLUTION; 2.4 STABILITY CONDITIONS; 2.5 STABILITY AND STATIONARITY
3. UNIVARIATE TIME SERIES3.1 ESTIMATION OF AN ARMA MODEL; 3.1.1 AUTOCORRELATION FUNCTION - ACF; 3.1.2 PARTIAL AUTOCORRELATION FUNCTION - PACF; 3.1.3 Q-TESTS; 3.1.4 DIAGNOSTICS OF RESIDUALS; 3.1.5 INFORMATION CRITERIA; 3.1.6 BOX-JENKINS METHODOLOGY; 3.2 TREND IN TIME SERIES; 3.2.1 DETERMINISTIC TREND; 3.2.2 STOCHASTIC TREND; 3.2.3 STOCHASTIC PLUS DETERMINISTIC TREND; 3.2.4 ADDITIONAL NOTES ON TRENDS IN TIME SERIES; 3.3 SEASONALITY IN TIME SERIES; 3.3.1 REMOVING SEASONAL PATTERNS; 3.3.2 ESTIMATING SEASONAL PATTERNS; 3.3.3 DETECTING SEASONAL PATTERNS; 3.3.4 HODRICK-PRESCOTT FILTER 3.4 UNIT ROOTS3.4.1 DICKEY-FULLER TEST; 3.4.2 AUGMENTED DICKEY-FULLER TEST; 3.4.3 PHILLIPS-PERRON TEST; 3.4.4 SHORTCOMINGS OF THE STANDARD UNIT ROOT TESTS; 3.4.5 KPSS TEST; 3.5 UNIT ROOTS AND STRUCTURAL CHANGE; 3.5.1 PERRON'S TEST; 3.5.2 ZIVOT AND ANDREWS' TEST; 3.6 DETECTING A STRUCTURAL CHANGE; 3.6.1 SINGLE STRUCTURAL CHANGE; 3.6.2 MULTIPLE STRUCTURAL CHANGE; 3.7 NON-LINEAR STRUCTURE AND CONDITIONAL HETEROSKEDASTICITY; 3.7.1 CONDITIONAL AND UNCONDITIONAL EXPECTATIONS; 3.7.2 ARCH MODEL; 3.7.3 GARCH MODEL; 3.7.4 DETECTING CONDITIONAL HETEROSKEDASTICITY; 3.7.5 THE BDS TEST 3.7.6 AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL3.7.7 IDENTIFICATION AND ESTIMATION OF A GARCH MODEL; 3.7.8 EXTENSIONS OF ARCH-TYPE MODELS; 3.7.9 MULTIVARIATE (G)ARCH MODELS; 3.7.10 STRUCTURAL BREAKS IN VOLATILITY; 4. MULTIPLE TIME SERIES; 4.1 VAR MODELS; 4.1.1 STRUCTURAL FORM, REDUCED FORM, AND IDENTIFICATION; 4.1.2 STABILITY AND STATIONARITY OF VAR MODELS; 4.1.3 ESTIMATION OF A VAR MODEL; 4.2 GRANGER CAUSALITY; 4.3 COINTEGRATION AND ERROR CORRECTION MODELS; 4.3.1 DEFINITION OF COINTEGRATION; 4.3.2 THE ENGLE-GRANGER METHODOLOGY 4.3.3 EXTENSIONS TO THE ENGLE-GRANGER METHODOLOGY4.3.4 THE JOHANSEN METHODOLOGY; 5. PANEL DATA AND UNIT ROOT TESTS; 5.1 LEVIN, LIN, AND CHU PANEL UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND LIMITED COEFFICIENTS HETEROGENEITY; 5.2. IM, PESARAN, AND SHIN UNIT-ROOT TEST WITH A NULL OF UNIT ROOT AND HETEROGENEOUS COEFFICIENTS; 5.3 HADRI UNIT-ROOT TESTS WITHA NULL OF STATIONARITY; 5.4 BREUER, MCNOWN, AND WALLACETEST FOR CONVERGENCE; 5.5 VOGELSANG TEST FOR β-CONVERGENCE; APPENDIX A - MONTE CARLO SIMULATIONS; APPENDIX B - STATISTICAL TABLES; REFERENCES; INDEX |
| Record Nr. | UNINA-9910798016803321 |
|
Kosenda Evzen
|
||
| [Prague, Czech Republic] : , : Karolinum Press, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
