Nonstationarity and structural breaks in economic time series: asymptotic theory and Monte Carlo simulations
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aldershot <<[u.a.]>>
Avebury
1993
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VII, 256 S. graph. Darst. 23 cm |
| ISBN: | 1856285804 |
Internformat
MARC
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| 245 | 1 | 0 | |a Nonstationarity and structural breaks in economic time series |b asymptotic theory and Monte Carlo simulations |c Antonio E. Noriega-Muro |
| 264 | 1 | |a Aldershot <<[u.a.]>> |b Avebury |c 1993 | |
| 300 | |a VII, 256 S. |b graph. Darst. |c 23 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Zugl.: Diss. | ||
| 650 | 7 | |a Asymptotische analyse |2 gtt | |
| 650 | 7 | |a Econometrische modellen |2 gtt | |
| 650 | 7 | |a Monte Carlo-methode |2 gtt | |
| 650 | 7 | |a Tijdreeksen |2 gtt | |
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Datensatz im Suchindex
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| adam_text | Contents
Acknowledgements vii
Introduction 1
1 Testing for unit roots: principles and procedures 5
Part one:
Tests for unit roots against fixed trend stationary
alternatives
1.1 Unit roots: concepts and definitions 5
1.2 Tests for unit roots 8
1.2.1 The AR(1) stochastic process 8
1.2.2 Importance of testing for unit roots 10
1.2.3 Dickey Fuller tests 12
1.2.4 Pantula tests 14
1.2.5 Phillips tests 16
1.3 Sampling performance of the unit root tests 26
Part two:
Tests for unit roots against non fixed trend stationary
alternatives
1.4 Introduction 28
1.5 Effects of structural changes on unit root tests 29
1.6 Tests for unit roots against more flexible 32
trend stationary alternatives
1.6.1 Exogenous change point 32
1.6.2 Endogenous change point 35
1.7 Sampling performance of the tests 39
1.8 Discussion and some conclusions 39
Appendix Al 43
v
2. Specification and analysis of test regressions for unit
root tests against breaking trend stationary alternatives 63
2.1 Introduction 63
2.2 Perron s approach for testing a unit root 63
2.3 A different interpretation: the models and their
relationship to Perron s models 67
2.4 A Monte Carlo experiment 71
2.4.1 Assessing the effects of deterministic
breaks on unit root tests 71
2.4.2 Small sample bias of the OLS estimators 74
2.5 Conclusions 84
Appendix A2 85
3. Asymptotic and finite sample behaviour of statistics
from unit root test regressions when the alternative
is a breaking trend stationary model 99
3.1 Introduction 99
3.2 Model (A): Crash model 101
3.2.1 Asymptotic theory 101
3.2.2 Finite sample theory 110
3.3 Model (B): Broken trend model 124
3.3.1 Asymptotic theory 124
3.3.2 Finite sample theory 129
3.4 Model (C): Crash + breaking trend model 139
3.4.1 Asymptotic theory 139
3.4.2 Finite sample theory 142
3.5 Model (Bl): The broken trend model revisited 144
3.5.1 Asymptotic theory 144
3.5.2 Finite sample theory 147
3.6 Conclusions 155
Appendix A3 157
4. An empirical application 230
4.1 Introduction 230
4.2 The data and some descriptive analysis 231
4.3 The empirical results
4.3.1 Testing for unit roots:
the case of no breaks 235
4.3.2 Testing for unit roots against
breaking trend stationary alternatives 238
4.4 Conclusions 243
5. Summary and conclusions 245
References 249
vi
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| indexdate | 2024-07-09T17:32:54Z |
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| isbn | 1856285804 |
| language | English |
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| physical | VII, 256 S. graph. Darst. 23 cm |
| publishDate | 1993 |
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| spelling | Noriega-Muro, Antonio E. Verfasser (DE-588)136751083 aut Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations Antonio E. Noriega-Muro Aldershot <<[u.a.]>> Avebury 1993 VII, 256 S. graph. Darst. 23 cm txt rdacontent n rdamedia nc rdacarrier Zugl.: Diss. Asymptotische analyse gtt Econometrische modellen gtt Monte Carlo-methode gtt Tijdreeksen gtt Econometrics Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zeitreihenanalyse (DE-588)4067486-1 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006110994&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Noriega-Muro, Antonio E. Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations Asymptotische analyse gtt Econometrische modellen gtt Monte Carlo-methode gtt Tijdreeksen gtt Econometrics Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4113937-9 |
| title | Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations |
| title_auth | Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations |
| title_exact_search | Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations |
| title_full | Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations Antonio E. Noriega-Muro |
| title_fullStr | Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations Antonio E. Noriega-Muro |
| title_full_unstemmed | Nonstationarity and structural breaks in economic time series asymptotic theory and Monte Carlo simulations Antonio E. Noriega-Muro |
| title_short | Nonstationarity and structural breaks in economic time series |
| title_sort | nonstationarity and structural breaks in economic time series asymptotic theory and monte carlo simulations |
| title_sub | asymptotic theory and Monte Carlo simulations |
| topic | Asymptotische analyse gtt Econometrische modellen gtt Monte Carlo-methode gtt Tijdreeksen gtt Econometrics Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Asymptotische analyse Econometrische modellen Monte Carlo-methode Tijdreeksen Econometrics Zeitreihenanalyse Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006110994&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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