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The Cointegrated Var Model

Author: Katarina Juselius
Publisher: OUP Oxford
ISBN: 0191622966
Size: 34.86 MB
Format: PDF
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This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.

Recent Developments In Cointegration

Author: Katarina Juselius
Publisher: MDPI
ISBN: 3038429554
Size: 48.26 MB
Format: PDF, ePub, Docs
View: 1999
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This book is a printed edition of the Special Issue "Recent Developments in Cointegration" that was published in Econometrics

Workbook On Cointegration

Author: Peter Reinhard Hansen
Publisher: Oxford University Press on Demand
ISBN: 9780198776086
Size: 49.47 MB
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This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and solutions concerned with the theory of cointegration in the vector autoregressive model. The maintext has been used for courses on Cointegration, and many of the exercises have been posed as either training exercises or exam questions. Many of them are challenging and summarize results published in the literature. Each chapter starts with a brief summary of the content of the correspondingchapter in the main text, which introduces the notation and the most important results.

Economic Integration Currency Union And Sustainable And Inclusive Growth In East Africa

Author: Almas Heshmati
Publisher: Springer
ISBN: 3319304321
Size: 48.12 MB
Format: PDF, ePub
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This edited volume focuses on economic integration, currency union, and sustainable and inclusive growth in East Africa. It consists of twelve interrelated studies that provide a comprehensive picture of the state and determinants of economic development and cooperation among countries in East Africa, such as Burundi, Ethiopia, Kenya, Rwanda and Tanzania. The contributions are grouped into five parts: economic integration and its effects on trade; common currency and exchange rate; research, innovation, and knowledge, and shadow economics and corruption; inclusive and sustainable growth; and the conflict-growth nexus and reconstruction. This book will appeal to scholars and decision makers looking for the necessary tools and determinants of economic development and cooperation in East Africa.

The Elgar Companion To Recent Economic Methodology

Author: J. B. Davis
Publisher: Edward Elgar Publishing
ISBN: 085793807X
Size: 51.88 MB
Format: PDF, ePub, Mobi
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Economic methodology has traditionally been associated with logical positivism in the vein of Milton Friedman, Karl Popper, Imre Lakatos and Thomas Kuhn. However, the emergence and proliferation of new research programs in economics have stimulated many novel developments in economic methodology. This impressive Companion critically examines these advances in methodological thinking, particularly those that are associated with the new research programs which challenge standard economic methodology. Bringing together a collection of leading contributors to this new methodological thinking, the authors explain how it differs from the past and point towards further concerns and future issues. The recent research programs explored include behavioral and experimental economics, neuroeconomics, new welfare theory, happiness and subjective well-being research, geographical economics, complexity and computational economics, agent-based modeling, evolutionary thinking, macroeconomics and Keynesianism after the crisis, and new thinking about the status of the economics profession and the role of the media in economics. This important compendium will prove invaluable for researchers and postgraduate students of economic methodology and the philosophy of economics. Practitioners in the vanguard of new economic thinking will also find plenty of useful information in this path-breaking book.

Likelihood Based Inference In Cointegrated Vector Autoregressive Models

Author: Søren Johansen
Publisher: Oxford University Press on Demand
ISBN: 0198774508
Size: 20.57 MB
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This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.

The American Economic Review

Author:
Publisher:
ISBN:
Size: 22.38 MB
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Includes annual List of doctoral dissertations in political economy in progress in American universities and colleges; and the Hand book of the American Economic Association.

Modelling Nonlinear Economic Relationships

Author: Clive William John Granger
Publisher: Oxford University Press
ISBN: 019877320X
Size: 73.25 MB
Format: PDF, Kindle
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This volume in the series Advanced Texts in Econometrics explains recent theoretical developments in the econometric modelling of relationships between different statistical series. Clive Granger and Timo Ter�svirta illustrate ways of using dynamic, multivariate analysis techniques to provide models of nonlinear relationships between variables. They pay particular attention to the case of a single dependent variable modelled by a few explanatory variables and the lagged dependent variable in nonlinear form. They also discuss the division of nonlinear relationships into parametric and nonparametric models. The developments detailed in this book will be useful to econometricians who need to construct or use models of nonlinear, dynamic, multivariate relationships, such as an investment or production function. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Time Series Econometrics

Author: Klaus Neusser
Publisher: Springer
ISBN: 331932862X
Size: 80.25 MB
Format: PDF
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This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.