Unit Roots Cointegration And Structural Change

Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Size: 71.38 MB
Format: PDF, ePub
View: 4041
Download Read Online
Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, cointegration tests, and econometric estimation with integrated regressors. The authors also present the Bayesian approach to these problems and bootstrap methods for small-sample inference. The chapters on structural change discuss the problems of unit root tests and cointegration under structural change, outliers and robust methods, the Markov-switching model and Harvey's structural time series model. Unit Roots, Cointegration and Structural Change is a major contribution to Themes in Modern Econometrics, of interest both to specialists and graduate and upper-undergraduate students.

Unit Root Cointegration And Structural Changes

Author: Dukpa Kim
Publisher:
ISBN:
Size: 73.42 MB
Format: PDF, Mobi
View: 1955
Download Read Online
Abstract: This dissertation theoretically analyzes various testing procedures for unit root, cointegration and structural change problems and proposes improved procedures. The first chapter is concerned with unit root tests in the presence of a break in the trend function. In the econometrics literature, unit root procedures designed for an unknown break date assume that a break occurs only under the alternative hypothesis. This is undesirable because the test may reject when the noise is integrated but the trend is changing and the existence of a break is not exploited to improve the power of the test. We propose a procedure that addresses both issues. When a break is present, the limit distribution of the test is the same as in the case of a known break date, which thereby allows increased power while a pre-test and a new trimming device allow controlled size. The second chapter theoretically compares the asymptotic relative efficiency of the Exp, Mean and Sup type tests for structural change. We show that the Mean type tests are inferior to the Sup and Exp type tests in terms of approximate relative Bahadur efficiency and that the Mean tests are inferior to the Sup tests in terms of the asymptotic relative Pitman efficiency. We also compare tests corrected for potential serial correlation. In this case, the inferiority of the tests based on the Lagrange Multiplier statistics compared to those based on the Wald statistics is pronounced. The third chapter extends Andrews' (2002) and Andrews and Kim's (2006) end-of-sample instability tests for linear regression models. I propose to apply their procedure after taking quasi-differences of the regression using a consistent estimate of the sum of the coefficients from the autoregressive representation of the error process. The quasi-feasible generalized least squares (QFGLS) version of Andrews and Kim's P test are proposed for cointegration models and the QFGLS version of Andrews' S test for a linear time trend model. The proposed tests are applied to assess the impact Bush's policies have had on the stability of the long-run fiscal stance in the US. The relevant cointegration system breaks down after 2001.

Unit Roots And Structural Breaks

Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Size: 21.99 MB
Format: PDF, Mobi
View: 7259
Download Read Online
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics

Cointegration

Author: Bhaskara B. Rao
Publisher: Springer
ISBN: 1349235296
Size: 26.74 MB
Format: PDF, Docs
View: 4863
Download Read Online
`This most commendable volume brings together a set of papers which permits ready access to the means of estimating quantitative relationships using cointegration and error correction procedures. Providing the data to show fully the basis for calculation, this approach is an excellent perception of the needs of senior undergraduates and graduate students.' - Professor W.P. Hogan, The University of Sydney Applied economists, with modest econometric background, are now desperately looking for expository literature on the unit roots and cointegration techniques. This volume of expository essays is written for them. It explains in a simple style various tests for the existence of unit roots and how to estimate cointegration relationships. Original data are given to enable easy replications. Limitations of some existing unit root tests are also discussed.

Unit Roots And Structural Breaks

Author: Pierre Perron
Publisher: MDPI
ISBN: 3038428116
Size: 34.89 MB
Format: PDF, Docs
View: 3569
Download Read Online
This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics

Almost All About Unit Roots

Author: In Choi
Publisher: Cambridge University Press
ISBN: 1107097339
Size: 19.96 MB
Format: PDF, Docs
View: 2260
Download Read Online
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.

Cointegration Causality And Forecasting

Author: Halbert White
Publisher: Oxford University Press on Demand
ISBN: 9780198296836
Size: 38.49 MB
Format: PDF, Kindle
View: 7671
Download Read Online
The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger. Central themes of Grangers work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.

Economic Structural Change

Author: Peter Hackl
Publisher: Springer Science & Business Media
ISBN: 3662068249
Size: 72.85 MB
Format: PDF, ePub
View: 4338
Download Read Online
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".