Applied time series modelling and forecasting:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
2003
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| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke |
| Beschreibung: | X, 302 S. graph. Darst. |
| ISBN: | 0470844434 |
Internformat
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| 245 | 1 | 0 | |a Applied time series modelling and forecasting |c Richard Harris and Robert Sollis |
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Datensatz im Suchindex
| _version_ | 1804129991258013696 |
|---|---|
| adam_text | Titel: Applied time series modelling and forecasting
Autor: Harris, Richard
Jahr: 2003
Contents
Preface ix
1 Introduction and Overview 1
Some Initial Concepts 2
Forecasting 10
Outline of the Book 15
2 Short- and Long-run Models 25
Long-run Models 25
Stationary and Non-stationary Time Series 26
Spurious Regressions 32
Cointegration 34
Short-run Models 36
Conclusion 39
3 Testing for Unit Roots 41
The Dickey-Fuller Test 42
Augmented Dickey-Fuller Test 48
Power and Level of Unit Root Tests 54
Structural Breaks and Unit Root Tests 57
Seasonal Unit Roots 63
Structural Breaks and Seasonal Unit Root Tests 70
Periodic Integration and Unit Root-testing 74
Conclusion on Unit Root Tests 76
vi ---------______________________________________________ Contents
4 Cointegration in Single Equations 79
The Engle-Granger (EG) Approach 79
Testing for Cointegration with a Structural Break 84
Alternative Approaches 87
Problems with the Single Equation Approach 92
Estimating the Short-run Dynamic Model 96
Seasonal Cointegration 100
Periodic Cointegration 103
Asymmetric Tests for Cointegration 104
Conclusions 108
5 Cointegration in Multivariate Systems 109
The Johansen Approach 110
Testing the Order of Integration of the Variables 112
Formulation of the Dynamic Model 114
Testing for Reduced Rank 122
Deterministic Components in the Multivariate Model 132
Testing of Weak Exogeneity and VECM with Exogenous 1(1)
Variables 135
Testing for Linear Hypotheses on Cointegration Relations 142
Testing for Unique Cointegration Vectors 152
Joint Tests of Restrictions on á and â 155
Seasonal Unit Roots 157
Seasonal Cointegration 159
Conclusions 161
Appendix 1 Programming in SHAZAM 164
6 Modelling the Short-run Multivariate System 165
Introduction 165
Estimating the Long-run Cointegration Relationships 166
Parsimonious VECM 173
Conditional PVECM 176
Structural Modelling 176
Structural Macroeconomic Modelling 185
Contents __________________________________________________ vii
7 Panel Data Models and Cointegration 189
Introduction 189
Panel Data and Modelling Techniques 190
Panel Unit Root Tests 191
Testing for Cointegration in Panels 200
Estimating Panel Cointegration Models 206
Conclusion on Testing for Unit Roots and Cointegration in Panel
Data 211
8 Modelling and Forecasting Financial Times Series 213
Introduction 213
ARCH and GARCH 215
Multivariate GARCH 221
Estimation and Testing 225
An Empirical Application of ARCH and GARCH Models 228
ARCH-M 232
Asymmetric GARCH Models 233
Integrated and Fractionally Integrated GARCH Models 238
Conditional Heteroscedasticity, Unit Roots and Cointegration 240
Forecasting with GARCH Models 244
Further Methods for Forecast Evaluation 250
Conclusions on Modelling and Forecasting Financial Time Series 257
Appendix Cointegration Analysis Using the Johansen Technique:
A Practitioner s Guide to PcGive 10.1 259
Statistical Appendix 269
References 285
Index 298
|
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| id | DE-604.BV017120912 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:13:56Z |
| institution | BVB |
| isbn | 0470844434 |
| language | English |
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| spelling | Harris, Richard Verfasser aut Applied time series modelling and forecasting Richard Harris and Robert Sollis Chichester [u.a.] Wiley 2003 X, 302 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Co-integratie gtt Financiering gtt Prognoses gtt Tijdreeksen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Sollis, Robert Sonstige oth http://www.loc.gov/catdir/description/wiley036/2003050199.html Publisher description http://www.loc.gov/catdir/toc/wiley032/2003050199.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010321629&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Harris, Richard Applied time series modelling and forecasting Co-integratie gtt Financiering gtt Prognoses gtt Tijdreeksen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4067486-1 |
| title | Applied time series modelling and forecasting |
| title_auth | Applied time series modelling and forecasting |
| title_exact_search | Applied time series modelling and forecasting |
| title_full | Applied time series modelling and forecasting Richard Harris and Robert Sollis |
| title_fullStr | Applied time series modelling and forecasting Richard Harris and Robert Sollis |
| title_full_unstemmed | Applied time series modelling and forecasting Richard Harris and Robert Sollis |
| title_short | Applied time series modelling and forecasting |
| title_sort | applied time series modelling and forecasting |
| topic | Co-integratie gtt Financiering gtt Prognoses gtt Tijdreeksen gtt Time-series analysis Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Co-integratie Financiering Prognoses Tijdreeksen Time-series analysis Zeitreihenanalyse |
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