Time Series Econometrics: Structural Change - Couverture rigide

Couverture rigide

ISBN 10 : 9813237899 ISBN 13 : 9789813237896

Editeur : World Scientific Publishing Co Pte Ltd, 2019

Synopsis

Volume 2 is about statistical methods related to structural change in time series models. The approach adopted is off-line whereby one wants to test for structural change using a historical dataset and perform hypothesis testing. A distinctive feature is the allowance for multiple structural changes. The methods discussed have, and continue to be, applied in a variety of fields including economics, finance, life science, physics and climate change. The articles included address issues of estimation, testing and/or inference in a variety of models: short-memory regressors and errors, trends with integrated and/or stationary errors, autoregressions, cointegrated models, multivariate systems of equations, endogenous regressors, long-memory series, among others. Other issues covered include the problems of non-monotonic power and the pitfalls of adopting a local asymptotic framework. Empirical analyses are provided for the US real interest rate, the US GDP, the volatility of asset returns and climate change.

A propos du livre

Présentation de l'éditeur

Volume 2 is about statistical methods related to structural change in time series models. The approach adopted is off-line whereby one wants to test for structural change using a historical dataset and perform hypothesis testing. A distinctive feature is the allowance for multiple structural changes. The methods discussed have, and continue to be, applied in a variety of fields including economics, finance, life science, physics and climate change. The articles included address issues of estimation, testing and/or inference in a variety of models: short-memory regressors and errors, trends with integrated and/or stationary errors, autoregressions, cointegrated models, multivariate systems of equations, endogenous regressors, long-memory series, among others. Other issues covered include the problems of non-monotonic power and the pitfalls of adopting a local asymptotic framework. Empirical analyses are provided for the US real interest rate, the US GDP, the volatility of asset returns and climate change.

Détails de l'édition

• Éditeur: World Scientific Publishing Co Pte Ltd
• Date d'édition: 2019
• Langue: anglais
• ISBN 10: 9813237899
• ISBN 13: 9789813237896
• Reliure: Relié
• Nombre de pages: 972
• Éditeur: Perron Pierre
• Coordonnées du fabricant: non disponible
• Personne responsable: GPSR Kontakt; gpsr@libri.de; ; Friedensallee 273; Hamburg; 22763; Allemagne