Time series econometrics: Volume 1 Unit roots and trend breaks
Saved in:
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New Jersey ; London ; Singapore
World Scientific
[2019]
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| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030900231&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | xx, 743 Seiten Diagramme |
| ISBN: | 9789813237865 9813237864 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents About the Editor v Acknowledgments vii Introduction xiii Part A 1. Unit Root 1 Testing the Random Walk Hypothesis: Power versus Frequency of Observation 3 Robert J. Shiller and Pierre Perron 2. Testing for a Unit Root in Time Series Regression 13 Peter C. B. Phillips and Pierre Perron 3. The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model 33 Pierre Perron 4. A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept Pierre Perron ix 51
x 5. Contents Test Consistency with Varying Sampling Frequency 87 Pierre Perron 6. Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 125 Serena Ng and Pierre Perron 7. The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors 167 Pierre Perron 8. Useful Modifications to Some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties 209 Pierre Perron and Serena Ng 9. Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data 259 Regina Celia Catí, Marcio G. P. Garda and Pierre Perron 10. Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power 303 Serena Ng and Pierre Perron 11. A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests 363 Pierre Perron and Zhongjun Qu Part В 12. Unit Roots with TrendBreaks 375 The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 377 Pierre Perron
Contents 13. Testing for a Unit Root in a Time Scries with a Changing Mean xi 439 Pierre Perron 14. Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions 463 Pierre Perron and Timothy J. Vogelsang 15. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity 473 Pierre Perron and Timothy J. Vogelsang 16. Further Evidence on Breaking Trend Functions in Macroeconomic Variables 525 Pierre Perron 17. Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time 569 Timothy J. Vogelsang and Pierre Perron 18. GLS Detrending, Efficient Unit Root Tests and Structural Change 615 Pierre Perron and Gabriel Rodriguez 19. Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses 651 Dukpa Kim and Pierre Perron 20. GLS-based Unit Root Tests with Multiple Structural Breaks Under Both the Null and the Alternative Hypotheses Josep Lluís Carrion-i-Silvestre, Dukpa Kim and Pierre Perron 693
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| id | DE-604.BV045515837 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T18:29:08Z |
| institution | BVB |
| isbn | 9789813237865 9813237864 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030900231 |
| oclc_num | 1101131027 |
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| owner | DE-703 DE-355 DE-BY-UBR DE-188 DE-706 |
| owner_facet | DE-703 DE-355 DE-BY-UBR DE-188 DE-706 |
| physical | xx, 743 Seiten Diagramme |
| publishDate | 2019 |
| publishDateSearch | 2019 |
| publishDateSort | 2019 |
| publisher | World Scientific |
| record_format | marc |
| spellingShingle | Time series econometrics Ökonometrie (DE-588)4132280-0 gnd Einheitswurzel (DE-588)4996808-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Testtheorie (DE-588)4131939-4 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4996808-7 (DE-588)4067486-1 (DE-588)4131939-4 |
| title | Time series econometrics |
| title_auth | Time series econometrics |
| title_exact_search | Time series econometrics |
| title_full | Time series econometrics Volume 1 Unit roots and trend breaks editor Pierre Perron (Boston University, USA) |
| title_fullStr | Time series econometrics Volume 1 Unit roots and trend breaks editor Pierre Perron (Boston University, USA) |
| title_full_unstemmed | Time series econometrics Volume 1 Unit roots and trend breaks editor Pierre Perron (Boston University, USA) |
| title_short | Time series econometrics |
| title_sort | time series econometrics unit roots and trend breaks |
| topic | Ökonometrie (DE-588)4132280-0 gnd Einheitswurzel (DE-588)4996808-7 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Testtheorie (DE-588)4131939-4 gnd |
| topic_facet | Ökonometrie Einheitswurzel Zeitreihenanalyse Testtheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030900231&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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