New directions in econometric practice: general to specific modelling, cointegration and vector autoregression
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cheltenham [u.a.]
Elgar
1997
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 344 S. graph. Darst. |
| ISBN: | 1858986001 |
Internformat
MARC
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| 100 | 1 | |a Charemza, Wojciech |d 1948- |e Verfasser |0 (DE-588)170003531 |4 aut | |
| 245 | 1 | 0 | |a New directions in econometric practice |b general to specific modelling, cointegration and vector autoregression |c Wojciech W. Charemza and Derek F. Deadman |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Cheltenham [u.a.] |b Elgar |c 1997 | |
| 300 | |a XIV, 344 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Autoregressive integrated moving-average | |
| 650 | 4 | |a Ekonometrija - Ekonometrični modeli - Avtoregresivni proces - Učbeniki za visoke šole | |
| 650 | 4 | |a Ekonometrija - Modeli - Priročniki | |
| 650 | 4 | |a Ekonometrija - Vektorska analiza - Povezovanje - Učbeniki za visoke šole | |
| 650 | 4 | |a Statistične metode - Konstante - Parametrični modeli - Učbeniki za visoke šole | |
| 650 | 4 | |a Statistične metode - Struktura - Zanesljivost - Učbeniki za visoke šole | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Econometric models | |
| 650 | 4 | |a Autoregression (Statistics) | |
| 650 | 4 | |a Vector analysis | |
| 650 | 4 | |a Cointegration | |
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Datensatz im Suchindex
| _version_ | 1804125959790526464 |
|---|---|
| adam_text | Contents
Foreword by Richard E. Quandt ix
Preface to Second Edition xi
Preface xiii
1 Traditional Methodology in Retrospect
1.1 Introduction 1
1.2 Principles of traditional methodology 3
1.3 The failure of traditional econometrics 8
1.4 Suggestions for further reading 9
2 Data Mining
2.1 Model selection through data mining 11
2.2 The R2 and StudenW statistic criteria 12
2.3 Pretesting and model selection 19
2.4 Data mining and the failure of traditional econometrics 21
2.5 Suggestions for further reading 22
3 Origins of a Modern Methodology: the DHSY Consumption
Function
3.1 Introduction 23
3.2 Economic background 23
3.3 Models of absolute and permanent income 27
3.4 The DHSY model 36
3.5 Methodological aspects of DHSY modelling 44
3.6 Testing for parameter constancy 47
3.7 Stylized computer output (PC GIVE) 51
3.8 Suggestions for further reading 56
4 General to Specific Modelling
4.1 Autoregressive distributed lag modelling 58
4.2 Testing restrictions 62
4.3 Modelling the UK consumption function 68
4.4 COMFAC analysis 73
4.5 General to specific modelling and data mining 76
4.6 Stylized computer output (PC GIVE) 78
4.7 Suggestions for further reading 82
v
vi New Directions in Econometric Practice
5 Cointegration Analysis
5.1 Introductory concepts 84
5.2 Nonstationary series and integrated processes 92
5.3 Testing for the order of integration 98
5.4 Further considerations in the testing for the order of
integration 110
5.5 The concept of cointegration 122
5.6 Testing for cointegration 127
5.7 Modelling cointegrated series through error correction
models 131
5.8 An example of cointegration analysis 134
5.9 Stylized computer output {PC GIVE) 140
5.10 Suggestions for further reading 148
6 Vector Autoregression: Forecasting, Causality and
Cointegration
6.1 A reconsideration of structural modelling 150
6.2 Principles of vector autoregressive modelling 156
6.3 Impulse response analysis 161
6.4 Causality inference 164
6.5 VAR and cointegration inference 170
6.6 VAR alternatives to the DHSY model 178
6.7 Stylized computer output (PC GIVE) 193
6.8 Suggestions for further reading 211
7 Exogeneity and Structural Invariance
7.1 Data generating processes 213
7.2 Weak and strong exogeneity 222
7.3 Structural invariance, superexogeneity and the Lucas
critique 234
7.4 Exogeneity in the DHSY model 241
7.5 Stylized computer output (PC GIVE) 244
7.6 Suggestions for further reading 247
8 Non nested Models, Encompassing and Model Selection
8.1 Problems in choosing between models 248
8.2 Model selection tests 250
8.3 An empirical encompassing exercise 255
8.4 Stylized computer output (PC GIVE) 258
8.5 Suggestions for further reading 259
Data Appendix 261
Exercises for Discussion 265
Contents vii
Appendix: Statistical Tables
Technical notes 277
Table 1 Dickey Fuller and Augmented Dickey Fuller
integration tests 281
Table 2 Dickey Fuller and Augmented Dickey Fuller
cointegration tests without intercept 284
Table 3 Dickey Fuller and Augmented Dickey Fuller
cointegration tests with intercept 290
Table 4 Dickey Fuller and Augmented Dickey Fuller
cointegration tests with quarterly seasonals 296
Table 5 Dickey Hasza Fuller integration tests 299
Table 6 Perron additive outlier integration test 301
Table 7 HEGY seasonal integration test without intercept 304
Table 8 HEGY seasonal integration test with intercept 306
Table 9 HEGY seasonal integration test with seasonals 308
References 311
Author Index 331
Subject Index 335
|
| any_adam_object | 1 |
| author | Charemza, Wojciech 1948- Deadman, Derek 1948- |
| author_GND | (DE-588)170003531 (DE-588)12405949X |
| author_facet | Charemza, Wojciech 1948- Deadman, Derek 1948- |
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| author_sort | Charemza, Wojciech 1948- |
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| bvnumber | BV011442689 |
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| dewey-ones | 330 - Economics |
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| dewey-search | 330/.01/5195 21 |
| dewey-sort | 3330 11 45195 221 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV011442689 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:09:51Z |
| institution | BVB |
| isbn | 1858986001 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007696244 |
| oclc_num | 442342166 |
| open_access_boolean | |
| owner | DE-N2 DE-473 DE-BY-UBG DE-945 DE-355 DE-BY-UBR DE-1047 DE-20 DE-521 DE-83 DE-11 DE-188 |
| owner_facet | DE-N2 DE-473 DE-BY-UBG DE-945 DE-355 DE-BY-UBR DE-1047 DE-20 DE-521 DE-83 DE-11 DE-188 |
| physical | XIV, 344 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Elgar |
| record_format | marc |
| spelling | Charemza, Wojciech 1948- Verfasser (DE-588)170003531 aut New directions in econometric practice general to specific modelling, cointegration and vector autoregression Wojciech W. Charemza and Derek F. Deadman 2. ed. Cheltenham [u.a.] Elgar 1997 XIV, 344 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Autoregressive integrated moving-average Ekonometrija - Ekonometrični modeli - Avtoregresivni proces - Učbeniki za visoke šole Ekonometrija - Modeli - Priročniki Ekonometrija - Vektorska analiza - Povezovanje - Učbeniki za visoke šole Statistične metode - Konstante - Parametrični modeli - Učbeniki za visoke šole Statistične metode - Struktura - Zanesljivost - Učbeniki za visoke šole Ökonometrisches Modell Econometric models Autoregression (Statistics) Vector analysis Cointegration Kointegration (DE-588)4347470-6 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf Methodologie (DE-588)4139716-2 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Vektor-autoregressives Modell (DE-588)4288533-4 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 s Kointegration (DE-588)4347470-6 s Vektor-autoregressives Modell (DE-588)4288533-4 s DE-604 Ökonometrie (DE-588)4132280-0 s Modell (DE-588)4039798-1 s Methodologie (DE-588)4139716-2 s Deadman, Derek 1948- Verfasser (DE-588)12405949X aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007696244&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Charemza, Wojciech 1948- Deadman, Derek 1948- New directions in econometric practice general to specific modelling, cointegration and vector autoregression Autoregressive integrated moving-average Ekonometrija - Ekonometrični modeli - Avtoregresivni proces - Učbeniki za visoke šole Ekonometrija - Modeli - Priročniki Ekonometrija - Vektorska analiza - Povezovanje - Učbeniki za visoke šole Statistične metode - Konstante - Parametrični modeli - Učbeniki za visoke šole Statistične metode - Struktura - Zanesljivost - Učbeniki za visoke šole Ökonometrisches Modell Econometric models Autoregression (Statistics) Vector analysis Cointegration Kointegration (DE-588)4347470-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Modell (DE-588)4039798-1 gnd Methodologie (DE-588)4139716-2 gnd Ökonometrie (DE-588)4132280-0 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd |
| subject_GND | (DE-588)4347470-6 (DE-588)4043212-9 (DE-588)4039798-1 (DE-588)4139716-2 (DE-588)4132280-0 (DE-588)4288533-4 |
| title | New directions in econometric practice general to specific modelling, cointegration and vector autoregression |
| title_auth | New directions in econometric practice general to specific modelling, cointegration and vector autoregression |
| title_exact_search | New directions in econometric practice general to specific modelling, cointegration and vector autoregression |
| title_full | New directions in econometric practice general to specific modelling, cointegration and vector autoregression Wojciech W. Charemza and Derek F. Deadman |
| title_fullStr | New directions in econometric practice general to specific modelling, cointegration and vector autoregression Wojciech W. Charemza and Derek F. Deadman |
| title_full_unstemmed | New directions in econometric practice general to specific modelling, cointegration and vector autoregression Wojciech W. Charemza and Derek F. Deadman |
| title_short | New directions in econometric practice |
| title_sort | new directions in econometric practice general to specific modelling cointegration and vector autoregression |
| title_sub | general to specific modelling, cointegration and vector autoregression |
| topic | Autoregressive integrated moving-average Ekonometrija - Ekonometrični modeli - Avtoregresivni proces - Učbeniki za visoke šole Ekonometrija - Modeli - Priročniki Ekonometrija - Vektorska analiza - Povezovanje - Učbeniki za visoke šole Statistične metode - Konstante - Parametrični modeli - Učbeniki za visoke šole Statistične metode - Struktura - Zanesljivost - Učbeniki za visoke šole Ökonometrisches Modell Econometric models Autoregression (Statistics) Vector analysis Cointegration Kointegration (DE-588)4347470-6 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Modell (DE-588)4039798-1 gnd Methodologie (DE-588)4139716-2 gnd Ökonometrie (DE-588)4132280-0 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd |
| topic_facet | Autoregressive integrated moving-average Ekonometrija - Ekonometrični modeli - Avtoregresivni proces - Učbeniki za visoke šole Ekonometrija - Modeli - Priročniki Ekonometrija - Vektorska analiza - Povezovanje - Učbeniki za visoke šole Statistične metode - Konstante - Parametrični modeli - Učbeniki za visoke šole Statistične metode - Struktura - Zanesljivost - Učbeniki za visoke šole Ökonometrisches Modell Econometric models Autoregression (Statistics) Vector analysis Cointegration Kointegration Modell Methodologie Ökonometrie Vektor-autoregressives Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007696244&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT charemzawojciech newdirectionsineconometricpracticegeneraltospecificmodellingcointegrationandvectorautoregression AT deadmanderek newdirectionsineconometricpracticegeneraltospecificmodellingcointegrationandvectorautoregression |