Time Series Econometrics (In 2 Parts)

Time Series Econometrics (In 2 Parts)

时间序列计量经济学(两部分)
数量经济学

原价：

￥ 3650.00

售价：

优惠

平台大促低至8折优惠

发货周期：预计3-5周发货

作者

Perron Pierre

出版社

World Scientific Publishing

出版时间

2019年02月18日

装帧

精装

ＩＳＢＮ

9789813237858

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页码

1100

语种

英文

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暂无评分

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图书简介

Part I covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of wide interest and the author was at the forefront of this research. The book covers important topics such as the Phillips-Perron unit root test and theoretical analyses about their properties, how this and other tests could be improved, and ingredients needed to achieve betters tests and the proposal of a new class of tests. Also included are theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests. Moreover, this book deals with the issue of trend breaks and their effect on unit root tests. This research agenda fostered by the author showed that trend breaks and unit roots can easily be confused. Hence, the need for new testing procedures, which are covered. Part II is about statistical methods related to structural change in time series models. The approach adopted is off-line whereby one wants to test for structural change using a historical dataset and perform hypothesis testing. A distinctive feature is the allowance for multiple structural changes. The methods discussed have, and continue to be, applied in a variety of fields including economics, finance, life science, physics and climate change. The articles included address issues of estimation, testing and/or inference in a variety of models: short-memory regressors and errors, trends with integrated and/or stationary errors, autoregressions, cointegrated models, multivariate systems of equations, endogenous regressors, long-memory series, among others. Other issues covered include the problems of non-monotonic power and the pitfalls of adopting a local asymptotic framework. Empirical analyses are provided for the US real interest rate, the US GDP, the volatility of asset returns and climate change. Key Features: ○ Covers statistical methods related to unit roots, trend breaks and their interplay ○ Includes theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests ○ Offers new testing procedures

Part I: Unit Roots and Trend Breaks: Giant Magnetoresistance in Organic Spin Valves (T D Nguyen, E Ehrenfreund and Z V Vardeny); Testing the Random Walk Hypothesis: Power versus Frequency of Observation (with Robert J Shiller); Testing for a Unit Root in Time Series Regression (with Peter C B Phillips); The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model; A Continuous Time Approximation to the Unstable First-order Autoregressive Model: The Case Without an Intercept; Test Consistency with Varying Sampling Frequency; Unit Root Tests in ARMA Models with Data Dependent Methods for Selection of the Truncation Lag (with Serena Ng); The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors; Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties (with Serena Ng); Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data (with Regina C Cati and Marcio G P Garcia); Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power (with Serena Ng); A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests (with Zhongjun Qu)Part II: Structural Change: The Great Crash, the Oil Price Shock and the Unit Root Hypothesis; Testing for a Unit Root in a Time Series Regression with a Changing Mean; Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions (with T J Vogelsang); Nonstationarity and Level Shifts with an Application to Purchasing Power Parity (with T J Vogelsang); Further Evidence from Breaking Trend Functions in Macroeconomic Variables; Additional Tests for a Unit Root Allowing the Possibility of Breaks in the Trend Function (with T J Vogelsang); GLS Detrending, Efficient Unit Root Tests and Structural Change (with Gabriel H Rodriguez); Unit Root Tests Allowing for a Break in the Trend Function Under Both the Null and Alternative Hypotheses (with Dukpa Kim); GLS-based Unit Root Tests with Multiple Structural Breaks both Under the Null and the Alternative Hypotheses (with Josep Lluís Carrion-i-Silvestre and Dukpa Kim)

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