Time Series Econometrics:Part I：Unit Roots And Trend Breaks

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. 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)

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Time Series Econometrics:Part I：Unit Roots And Trend Breaks 时间系列计量经济学：第一部分，单位根与趋势断裂 数量经济学

Time Series Econometrics:Part I：Unit Roots And Trend Breaks

时间系列计量经济学：第一部分，单位根与趋势断裂
数量经济学