Cointegration in Macroeconomic Systems

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  • Author : Robert M. Kunst
  • Publisher : Unknown
  • Pages : 28 pages
  • ISBN :
  • Rating : /5 from reviews
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Periodicity and Stochastic Trends in Economic Time Series

Periodicity and Stochastic Trends in Economic Time Series
  • Author : Philip Hans Franses
  • Publisher : Oxford University Press, USA
  • Release : 20 April 1996
GET THIS BOOK Periodicity and Stochastic Trends in Economic Time Series

This book provides a self-contained account of periodic models for seasonally observed economic time series with stochastic trends. Two key concepts are periodic integration and periodic cointegration. Periodic integration implies that a seasonally varying differencing filter is required to remove a stochastic trend. Periodic cointegration amounts to allowing cointegration paort-term adjustment parameters to vary with the season. The emphasis is on useful econrameters and shometric models that explicitly describe seasonal variation and can reasonably be interpreted in terms of economic

New Developments in Time Series Econometrics

New Developments in Time Series Econometrics
  • Author : Jean-Marie Dufour,Baldev Raj
  • Publisher : Springer Science & Business Media
  • Release : 06 December 2012
GET THIS BOOK New Developments in Time Series Econometrics

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

Cointegration Analysis in a German Monetary System

Cointegration Analysis in a German Monetary System
  • Author : Kirstin Hubrich
  • Publisher : Physica
  • Release : 20 April 2021
GET THIS BOOK Cointegration Analysis in a German Monetary System

With the decision of the European Central Bank to assign a prominent role to a monetary aggregate in its policy strategy, it is essential to further understand the policy of monetary targeting of the German Bundesbank and the conditions under which it succeeded. The focus of the empirical analysis is on long-run monetary relationships. A small sample simulation analysis compares the size and power properties of a broad range of systems cointegration tests. The results determine the methods chosen for

The Macroeconomics of East Asian Growth

The Macroeconomics of East Asian Growth
  • Author : Yanrui Wu,Joanne Boo,Paulo N Figueiredo
  • Publisher : Edward Elgar Pub
  • Release : 20 April 2021
GET THIS BOOK The Macroeconomics of East Asian Growth

"Employing both cross-country analyses and case studies of individual economies, this book contributes to the many debates surrounding economic growth in East Asia. The author's style will appeal to economic researchers, lecturers and students of economics, as well as business economists and market analysts."--BOOK JACKET.

Macroeconomic Modelling in a Changing World

Macroeconomic Modelling in a Changing World
  • Author : Christopher Allen,Chris Allen,Stephen Hall
  • Publisher : John Wiley & Son Limited
  • Release : 12 February 1997
GET THIS BOOK Macroeconomic Modelling in a Changing World

Macroeconomic Modelling in a Changing World Towards a Common Approach Edited by Chris Allen and Stephen Hall Practical economic model building has changed enormously over the last twenty years. Econometrics has become much more sophisticated with the introduction of cointegration and non-stationary time series analysis. The use of economic theory in the form of complex non-linear cross equation restrictions is now much more widespread and the explicit modelling of expectations and credibility effects is more satisfactory. This has meant that

Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance

Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance
  • Author : Gilles Dufrénot,Valérie Mignon
  • Publisher : Springer Science & Business Media
  • Release : 06 December 2012
GET THIS BOOK Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance

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