Similar Search Results

Time Series Econometrics : Learning Through Replication

Levendis, John D. - 2023 - 2nd ed. 2023.

-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to … step fashion, using the popular Stata software system. Students then test for stationarity, while replicating the actual … find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this …

Persistent link: https://www.econbiz.de/10014443465

Applied Statistics and Econometrics : Basic Topics and Tools with Gretl and R

Kivedal, Bjørnar Karlsen - 2024

1. Introduction 2 -- Start using Gretl and R 3 -- Basic Material 4 -- Hypothesis testing 5 -- Simple linear regression … 6 -- Multiple regression 7 -- Regression using dummy variables 8 -- Non linear models 9 -- Time series analysis 10 …This accessible textbook introduces the foundations of applied econometrics and statistics for undergraduate students …

Persistent link: https://www.econbiz.de/10014519030

Learning Causal Relations in Multivariate Time Series Data

Chen, Pu; Chihying, Hsiao - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-11, pp. 1-43

Applying a probabilistic causal approach, we define a class of time series causal models (TSCM) based on stationary Bayesian networks. A TSCM can be seen as a structural VAR identified by the causal relations among the variables. We classify TSCMs into observationally equivalent classes by...

Persistent link: https://www.econbiz.de/10010295294

Are output growth-rate distributions fat-tailed? Some evidence from OECD countries

Fagiolo, Giorgio; Napoletano, Mauro; Roventini, Andrea - 2006

This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions are well-approximated by symmetric exponential-power densities with tails much fatter than those of a Gaussian. Fat...

Persistent link: https://www.econbiz.de/10010328447

In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008

Cai, Lili; Swanson, Norman R. - 2011

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

Persistent link: https://www.econbiz.de/10010282832

Google-haut Suomen asuntojen hintojen ennustajana

Widgrén, Joona - 2016

This report examines whether Google search queries can be used to predict the present and the near future house prices in Finland. Compared to a simple benchmark model, Google searches improve the prediction of the present house price index by 7.5 % measured by mean absolute error. In addition,...

Persistent link: https://www.econbiz.de/10012037683

Türkiye'de Reel Ücretlerin TAR Modeli ile Analizi ve Birim Kök Sınaması

Alp, Elcin Aykac - 2007

Doğrusal olmayan yapıdaki iktisadi değişkenler uzun yıllar doğrusal modeller araçları ile analiz edilmiş bu nedenle de gerçek hayatı açıklamada yetersiz kalmıştır. Son dönemde yapılan çalışmalar sonucunda doğrusal olmayan zaman serileri analizlerinin özellikle makro...

Persistent link: https://www.econbiz.de/10010320575

Identification of Liechtenstein's historic economic growth and business cycles by econometric extensions of data series

Brunhart, Andreas - 2012

Several economic data series of Liechtenstein are backwardly estimated in order to achieve consistent historic time series. The generated series consist for instance of the national income for the years 1954 to 1992 (by regressive inter- and retropolation with indicators) and 1993 to 1997 (by...

Persistent link: https://www.econbiz.de/10010368149

Measuring the distance between sets of ARMA models

Triacca, Umberto - In: Econometrics : open access journal 4 (2016) 3, pp. 1-11

A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of...

Persistent link: https://www.econbiz.de/10011506519

Improved calendar time approach for measuring long-run anomalies

Dutta, Anupam - In: Cogent economics & finance 3 (2015) 1, pp. 1-14

Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this paper, we show that a recently introduced calendar time...

Persistent link: https://www.econbiz.de/10011449859

1
2
3
4
5
6
7
8
9
10
Next
Last