Unit roots in economic time series
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Unit roots in economic time series by K. D. Patterson

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Published by Palgrave Macmillan in Basingstoke .
Written in English

Subjects:

  • Time-series analysis,
  • Econometrics

Book details:

Edition Notes

StatementKerry Patterson.
SeriesPalgrave texts in econometrics
The Physical Object
Pagination192 p. ;
Number of Pages192
ID Numbers
Open LibraryOL15573123M
ISBN 101403902046, 1403902054
OCLC/WorldCa56458775

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Get this from a library! Unit roots in macroeconomic time series: some critical issues. [Bennett T McCallum; National Bureau of Economic Research.]. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series by: Time-Series-Based Econometrics: Unit Roots and Co-Integrations. By Michio Hatanaka. The applications that I have in mind are primarily to macro-economic time series rather than to financial series, the analyses of the two kinds of series often requiring different concepts and tools. unit roots influence the appropriate selection of. Buy a cheap copy of Unit Roots in Economic Time Series book by Kerry Patterson. This book provides an introduction to the technical background of unit root testing, one of the most heavily researched areas in econometrics over the last twenty Free shipping over $

Get this from a library! Unit Roots in Macroeconomic Time Series: Some Critical Issues. [Bennett T McCallum] -- This paper suggests that the relevant question concerning unit root' in the U.S. real GNP time series pertains to the relative importance of difference-stationary and .   Contents: Volume 1: Unit Roots and Trend Breaks: Part A: Unit Root: Testing the Random Walk Hypothesis: Power versus Frequency of Observation (Robert J Shiller and Pierre Perron); Testing for a Unit Root in Time Series Regression (Peter C B Phillips and Pierre Perron); The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model (Pierre Perron). Unit Root Tests Introduction Many economic and financial time series exhibit trending behavior or non-stationarity in the mean. Leading examples are asset prices, exchange rates and the levels of macroeconomic aggregates like real GDP. An important econometric task is determining the most appropriate form of the trend in the data. Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on Cited by:

special name: they are called the autocovariances of the time series. The -order autocovars i-ance is the covariance between the value at time t and the value s periods earlier at time t – s. Fluctuations in most economic time series tend to persist over time, so elements nearFile Size: KB. The book is divided into two parts. Part I deals with the univariate unit root, i.e. to see if a stochastic trend is present when each time series is analysed separately. Part II discusses co-integration, i.e. the empirical investigation of long-run relationships among a number of time series. series analysis. The impact of time series analysis on scienti c applications can be par-tially documented by producing an abbreviated listing of the diverse elds in which important time series problems may arise. For example, many fa-miliar time series occur in the eld of economics, where we are continually. In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism.