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Ajouter au panierEtat : New. KlappentextrnrnThe Cointegrated VAR model allows the user to study both long-run and short-run effects in the same model. It describes an economic system where variables have been pushed away from long-run equilibria by exogenous shocks (the pus.
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Ajouter au panierTaschenbuch. Etat : Neu. Neuware - The Cointegrated VAR model allows the user to study both long-run and short-run effects in the same model. It describes an economic system where variables have been pushed away from long-run equilibria by exogenous shocks (the pushing forces) and where short-run adjustments forces pull them back toward long-run equilibria (the pulling forces). In this model framework, basic assumptions underlying an economic theory model can be translated into testable hypotheses of the order of integration and cointegration of key variables and their relationships. While the latter used to be I(1), macroeconomic and financial data have recently shown a tendency for puzzling long and persistent swings around long-run equilibrium values typical of self-reinforcing feed-back mechanisms. Such persistent fluctuations are frequently indistinguishable from I(2) data, pointing to the need for new econometric solutions. In this book, many of our most distinguished scholars in the field of cointegration offer a variety of solutions to these problems by formulating new models, tests, and asymptotics more suitable for an I(2) world. Several of the papers apply these cointegration techniques to a variety of empirical problems, thereby showing how to obtain valuable information about some of the mechanisms that have generated the recent crises.
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Ajouter au panierTaschenbuch. Etat : Neu. Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance | Valérie Mignon (u. a.) | Taschenbuch | xxviii | Englisch | 2010 | Springer US | EAN 9781441952769 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.
Langue: anglais
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Ajouter au panierTaschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Langue: anglais
Edité par Springer US, Springer New York, 2002
ISBN 10 : 1402070292 ISBN 13 : 9781402070297
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Ajouter au panierBuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
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Ajouter au panierTaschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility). 328 pp. Englisch.
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Ajouter au panierGebunden. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two .
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Ajouter au panierEtat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two .
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Ajouter au panierEtat : New. Print on Demand pp. 332 Illus.