Time-Series-Based Econometrics : Unit Roots and Co-Integrations

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  • Time-series-based econometrics : unit roots and co-integrations - Ghent University Library!
  • Time-Series-Based Econometrics: Unit Roots and Co-integrations;
  • Michio Hatanaka.
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  • Time-series-based Econometrics: Unit Roots and Co-integrations - Michio Hatanaka - Google книги.
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In this book, Professor Hatanaka surveys the field, examinesthose portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies.

The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, butthat the critics may be right when periods of years are considered.

Time-Series-Based Econometrics 'unit Roots and Cointegration' Complete

Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span. Tsong, C. The Fourier approximation and testing for the null of cointegration. Empirical Economics, 51 3 , Emirmahmutoglu, F.

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Testing for Granger causality in heterogeneous mixed panels, Economic Modelling, 28 , — Dumitrescu, E. Testing for Granger non-causality in heterogeneous panels, Economic Modelling, 29 , — Pesaran, M. A simple unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22 2 , Granger, C.

Unit root testing | SpringerLink

Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37 , — You must be logged in to post a comment.

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Data Analytics Blog New release of tspdlib 1. New release of tspdlib 1. Change outputs from adf procedure to include tstat, p-value, and critical value.

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Add critical values to output from dfgls procedure. Add critical values to output from erspt procedure. Add bandwidth length to required inputs from erspt procedure. Add bandwidth length for spectral window to required inputs for mgls procedure. Add critical values to output from mgls procedure. Hill "Collinearity diagnostics in gretl". Presented at fourth gretl conference, Berlin. Agresti, A. Akaike, H. Arellano, M. Bond "Some tests of specification for panel data: Monte carlo evidence and an application to employment equations", The Review of Economic Studies Armesto, M.

Engemann and M. Louis Review 92 6 : Baltagi, B. Chang "Incomplete panels: A comparative study of alternative estimators for the unbalanced one-way error component regression model", Journal of Econometrics Belsley, D. Kuh and R. Breusch, T. Pagan "A simple test for heteroscedasticity and random coefficient variation", Econometrica Byrd, R. Lu, J.

maisonducalvet.com/mujeres-buscando-hombres-en-cadrete.php Nocedal and C. Choi, I. Chow, G. Lin "Best linear unbiased interpolation, distribution, and extrapolation of time series by related series", The Review of Economics and Statistics 53 4 : Cleveland, W. Davidson, R. Doornik, J. Edgerton, D. Wells "Critical values for the cusumsq statistic in medium and large sized samples", Oxford Bulletin of Economics and Statistics Elliott, G.

Granger Centre Discussion Paper Series

Rothenberg and J. Stock "Efficient tests for an autoregressive unit root", Econometrica Engle, R. Granger "Co-integration and error correction: Representation, estimation, and testing", Econometrica Fiorentini, G. Calzolari and L. Geweke, J. Porter-Hudak "The estimation and application of long memory time series models", Journal of Time Series Analysis 4: Godfrey, L.