New Developments In Time Series Econometrics - Dufour Jean-Marie (Curatore); Raj Baldev (Curatore) | Libro Physica 04/2012 - HOEPLI.it


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dufour jean-marie (curatore); raj baldev (curatore) - new developments in time series econometrics

New Developments in Time Series Econometrics

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Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Physica

Pubblicazione: 04/2012
Edizione: Softcover reprint of the original 1st ed. 1994





Sommario

New Developments in Time Series Econometrics: An Overview.- Modelling of Multivariate Economic Time Series.- Usefulness of Linear Transformations in Multivariate Time-Series Analysis.- VAR Modelling and Haavelmo’s Probability Approach to Macroeconomic Modelling.- Inference in Expectations Models of the Term Structure: A Non-parametric Approach.- Adjustment Costs and Time-To-Build in Factor Demand in the U.S Manufacturing Industry.- Structural Change Analysis.- Parameter Constancy in Cointegrating Regressions.- The HUMP-Shaped Behavior of Macroeconomic Fluctuations.- The Sources of the U.S. Money Demand Instability.- Seasonality, Cointegration and Fractional Integration.- On the (Mis)Specification of Seasonality and its Consequences: An Empirical Investigation with US Data.- Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series.- A Note on Johansen’s Cointegration Procedure when Trends are Present.- Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models.




Trama

This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.







Altre Informazioni

ISBN:

9783642487446

Condizione: Nuovo
Collana: Studies in Empirical Economics
Dimensioni: 244 x 170 mm Ø 455 gr
Formato: Brossura
Illustration Notes:59 Illustrations, black and white
Pagine Arabe: 250
Pagine Romane: vi






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