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Unit Root Tests in Time Series : Key Concepts and Problems

Patterson, Kerry - 2011

Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing

Persistent link: https://www.econbiz.de/10012053904

Unit Root Tests in Time Series : Extensions and Developments

Patterson, Kerry - 2012

Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases,...

Persistent link: https://www.econbiz.de/10012054308

Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2006

Provides an analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes.The book also presents an analytical setting to guide the formulation and solution in closed...

Persistent link: https://www.econbiz.de/10013520512

Autokorrelationen in der historischen Simulation : Analyse der autokorrelationsarmen Abbildung von Zinsänderungsrisiken

Boka, Noel - 2018

Konzepte der barwertigen Zinsrisikomessung -- Determinanten der Autokorrelation in der historischen Simulation … -- Autokorrelation unter Verwendung unterschiedlicher Zinskurven und Vorgehensweisen -- Analyse der Prognosegüte vor dem Hintergrund …. Der Inhalt Konzepte der barwertigen Zinsrisikomessung Determinanten der Autokorrelation in der historischen Simulation …

Persistent link: https://www.econbiz.de/10014018639

Exchange Rates and Macroeconomic Dynamics

Karadeloglou, Pavlos V. (ed.); Terraza, Virginie (ed.) - 2008

This book looks at the PPP persistence puzzle, and econometric aspects of exchange rate dynamics and their implications. It also explores the importance of exchange rate dynamics in the pass-through effects (PTE) and the econometric aspects of the exchange rates dynamics linked to structural...

Persistent link: https://www.econbiz.de/10012054166

A Primer for Unit Root Testing

Patterson, Kerry - 2010

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

Persistent link: https://www.econbiz.de/10012106206

Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2009

Persistent link: https://www.econbiz.de/10013521068

High Frequency Financial Econometrics : Recent Developments

Bauwens, Luc (contributor); Pohlmeier, Winfried (contributor) - 2008

Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and...

Persistent link: https://www.econbiz.de/10013520878

Long-Run Growth Forecasting

Bergheim, Stefan (contributor) - 2008

This book explores how to set up an empirical model that helps with forecasting long-term economic growth in a large number of countries. It offers a systematic approach to models of potential GDP that can also be used for forecasts of more than a decade. It is an attempt to fill the wide gap...

Persistent link: https://www.econbiz.de/10013520921

Advances in Time Series Data Methods in Applied Economic Research : International Conference on Applied Economics (ICOAE) 2018

Tsounis, Nicholas (ed.); Vlachvei, Aspasia (ed.) - 2018

field of economics that combines economic theory with econometrics to analyse economic problems of the real world usually … year from about 40 countries around the world. The goal of the conference and the enclosed papers is to allow for an …-established economic fields such as finance, agricultural economics, health economics, education economics, international trade theory and …

Persistent link: https://www.econbiz.de/10012396995