Co-trending: a statistical system analysis of economic trends
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Tokyo [u.a.]
Springer
2003
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 115 S. graph. Darst. |
| ISBN: | 443140158X |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
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| 082 | 0 | |a 330/.01/5195 |2 22 | |
| 100 | 1 | |a Hatanaka, Michio |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Co-trending |b a statistical system analysis of economic trends |c M. Hatanaka ; H. Yamada |
| 264 | 1 | |a Tokyo [u.a.] |b Springer |c 2003 | |
| 300 | |a IX, 115 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Co-integratie |2 gtt | |
| 650 | 7 | |a Econometrische modellen |2 gtt | |
| 650 | 7 | |a Systeemanalyse |2 gtt | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Cointegration | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Economic forecasting |x Statistical methods | |
| 650 | 0 | 7 | |a Wirtschaftsentwicklung |0 (DE-588)4066438-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Trendanalyse |0 (DE-588)4192224-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kointegration |0 (DE-588)4347470-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
| 651 | 4 | |a Japan |x Economic conditions |y 1945- |x Econometric models | |
| 689 | 0 | 0 | |a Wirtschaftsentwicklung |0 (DE-588)4066438-7 |D s |
| 689 | 0 | 1 | |a Trendanalyse |0 (DE-588)4192224-4 |D s |
| 689 | 0 | 2 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 0 | 3 | |a Kointegration |0 (DE-588)4347470-6 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Yamada, Hiroshi |d 1967- |e Verfasser |0 (DE-588)171578317 |4 aut | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010376008&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-010376008 | |
Datensatz im Suchindex
| _version_ | 1808135461837733888 |
|---|---|
| adam_text |
CONTENTS
PREFACE
.
V
1
INTRODUCTION
.
1
1.1
MOTIVATION
AND
RESULTS
OF
THE
RESEARCH
.
1
1.2
REVIEW
OF
THE
LITERATURE
.
5
1.3
EXPLORATION
OF
DIFFERENT
APPROACHES
.
6
1.4
NOTATIONS
.
7
2
CO-TRENDING
.
8
2.1
CO-TRENDING
IN
THE
NON-PARAMETRIC
APPROACH
.
9
2.2
CO-TRENDING
IN
THE
PARAMETRIC
APPROACH
.
10
2.3
TREND
FUNCTIONS
.
13
2.4
CO-TRENDING
AND
CO-BREAKING
.
13
2.5
A
SURVEY
ON
THE
DIRECT
AND
THE
INDIRECT
MODELLING
OF
TREND
.
14
3
STATISTICS
FROM
THE
DATA
COVARIANCE
MATRIX
.
16
3.1
THREE-WAY
DECOMPOSITION
OF
THE
N-DIMENSIONAL
SPACE
.
17
3.2
GROUP
X
.
18
3.3
GROUP
2
.
19
3.4
GROUP
1
.
21
3.5
AN
APPROXIMATION
OF
P(X)
.
23
3.6
PLAN
FOR
THE
REST
OF
THE
BOOK
.
23
4
PRINCIPAL
COMPONENTS
.
25
4.1
GROUP
X,
I
=
1,.,
N
-
R
.
26
4.2
GROUP
2,
I
=
N
-
R
+
1,.
,N
-
N,
R
2
0
.
27
4.3
GROUP
1,
I
=
N
-
N
+
1,.
,N,
N
0
.
27
5
UNIT
ROOT
TESTS
.
28
5.1
UNIVARIATE
UNIT
ROOT
TEST
.
29
5.2
GROUP
:
THE
CASE
WHERE
BJIU
IS
NOT
A
COINTEGRATION
VECTOR
.
31
5.3
GROUP
X:
THE
CASE
WHERE
IS
A
COINTEGRATION
VECTOR
.
31
VIII
5.4
GROUP
2:
THE
CASE
WHERE
RZ
=
1,
AND
GROUP
1
.
32
5.5
MULTIVARIATE
UNIT
ROOT
TEST
.
33
5.6
GROUP
2:
THE
CASE
WHERE
RZ
2
.
35
5.7
MISTAKEN
CONSTITUENTS
OF
GROUPS
.
35
5.8
SUPPLEMENT
ON
THE
MARTINGALE
COVARIANCE
.
37
6
TREND
TESTS
.
39
6.1
DISCRIMINATION
BETWEEN
GROUP
1
AND
GROUP
WITH
AS
A
COINTEGRATION
VECTOR
.
40
6.2
FAILURE
OF
THE
STANDARD
TREND
TESTS
IN
DISCRIMINATING
GROUPS
AND
2
.
40
6.3
TEST
STATISTIC
AND
LIMIT
DISTRIBUTION
FOR
THE
DISCRIMINATION
BETWEEN
GROUP
2
AND
GROUP
WITH
BJIU
NOT
IN
THE
COINTEGRATING
SPACE
.
41
6.4
REDUCED
RANK
REGRESSION
OF
X
ON
S
H
.
43
6.5
A
FINITE
SAMPLE
ANALYSIS
OF
THE
REDUCED
RANK
REGRESSION
.
44
6.6
ASYMPTOTIC
ANALYSES
OF
THE
REDUCED
RANK
REGRESSION
.
47
6.7
DATA-DEPENDENT
CRITICAL
VALUE
.
49
6.8
MISTAKEN
CONSTITUENTS
OF
THE
GROUPS
AND
2
.
51
7
SEQUENTIAL
DECISION
RULE
.
55
7.1
GROUPING
METHOD
.
55
7.2
SEQUENTIAL
DECISION
RULE
.
57
7.3
TESTS
OF
A
GROUPING
METHOD
.
57
7.4
JUSTIFICATION
OF
THE
SEQUENTIAL
DECISION
RULE
.
59
7.5
SUPPLEMENT
.
61
8
SIMULATION
STUDIES
.
64
8.1
DGP
.
64
8.2
DETAILS
OF
THE
TREND
TEST
FOR
1(0)
.
67
8.3
A
TABLE
OF
ASYMPTOTIC
PROBABILITIES
.
67
8.4
RESULTS
OF
SIMULATION
STUDIES
.
72
8.5
EMPIRICAL
EXAMPLE
.
75
A
MATHEMATICAL
PROOFS
.
77
A.L
MATHEMATICAL
PROOFS
OF
PROPOSITIONS
AND
LEMMAS
IN
CHAPTER
2
.
77
A.2
MATHEMATICAL
PROOFS
OF
PROPOSITIONS
AND
LEMMAS
IN
CHAPTER
3
.
77
A.3
MATHEMATICAL
PROOFS
OF
PROPOSITIONS
AND
LEMMAS
IN
CHAPTER
4
.
82
A.4
MATHEMATICAL
PROOFS
OF
PROPOSITIONS
AND
LEMMAS
IN
CHAPTER
5
.
83
A.5
MATHEMATICAL
PROOFS
OF
PROPOSITIONS
AND
LEMMAS
IN
CHAPTER
6
.
92
CONTENTS
IX
B
OLS
INFERENCE
ON
THE
MATRIX
B
.
98
B.L
THE
CASE
WHERE
RI
0
.
99
B.2
THE
CASE
WHERE
R
2
=
0
.
101
B.3
ESTIMATION
OF
THE
VAR,
(B.3)
.
102
B.4
ESTIMATION
OF
C(L),
A,
AND
C*(L)
.
103
B.5
ESTIMATION
OF
G,G'
.
104
C
DETERMINATION
OF
THE
CO-BREAKING
RANK
.
105
C.L
THE
NUMBER
OF
COMMON
BREAKS
.
105
C.2
DETRENDED
COVARIANCE
MATRIX
.
106
C.3
UURT
.
107
C.4
MURT
.
108
C.5
TRT
.
109
NOTES
.
ILL
REFERENCES
.
114 |
| any_adam_object | 1 |
| author | Hatanaka, Michio Yamada, Hiroshi 1967- |
| author_GND | (DE-588)171578317 |
| author_facet | Hatanaka, Michio Yamada, Hiroshi 1967- |
| author_role | aut aut |
| author_sort | Hatanaka, Michio |
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| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/5195 |
| dewey-search | 330/.01/5195 |
| dewey-sort | 3330 11 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| geographic | Japan Economic conditions 1945- Econometric models |
| geographic_facet | Japan Economic conditions 1945- Econometric models |
| id | DE-604.BV017217394 |
| illustrated | Illustrated |
| indexdate | 2024-08-23T00:19:08Z |
| institution | BVB |
| isbn | 443140158X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010376008 |
| oclc_num | 52559216 |
| open_access_boolean | |
| owner | DE-12 DE-M382 |
| owner_facet | DE-12 DE-M382 |
| physical | IX, 115 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Springer |
| record_format | marc |
| spelling | Hatanaka, Michio Verfasser aut Co-trending a statistical system analysis of economic trends M. Hatanaka ; H. Yamada Tokyo [u.a.] Springer 2003 IX, 115 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Co-integratie gtt Econometrische modellen gtt Systeemanalyse gtt Wirtschaft Ökonometrisches Modell Cointegration Econometrics Economic forecasting Statistical methods Wirtschaftsentwicklung (DE-588)4066438-7 gnd rswk-swf Trendanalyse (DE-588)4192224-4 gnd rswk-swf Kointegration (DE-588)4347470-6 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Japan Economic conditions 1945- Econometric models Wirtschaftsentwicklung (DE-588)4066438-7 s Trendanalyse (DE-588)4192224-4 s Zeitreihenanalyse (DE-588)4067486-1 s Kointegration (DE-588)4347470-6 s DE-604 Yamada, Hiroshi 1967- Verfasser (DE-588)171578317 aut DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010376008&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hatanaka, Michio Yamada, Hiroshi 1967- Co-trending a statistical system analysis of economic trends Co-integratie gtt Econometrische modellen gtt Systeemanalyse gtt Wirtschaft Ökonometrisches Modell Cointegration Econometrics Economic forecasting Statistical methods Wirtschaftsentwicklung (DE-588)4066438-7 gnd Trendanalyse (DE-588)4192224-4 gnd Kointegration (DE-588)4347470-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4066438-7 (DE-588)4192224-4 (DE-588)4347470-6 (DE-588)4067486-1 |
| title | Co-trending a statistical system analysis of economic trends |
| title_auth | Co-trending a statistical system analysis of economic trends |
| title_exact_search | Co-trending a statistical system analysis of economic trends |
| title_full | Co-trending a statistical system analysis of economic trends M. Hatanaka ; H. Yamada |
| title_fullStr | Co-trending a statistical system analysis of economic trends M. Hatanaka ; H. Yamada |
| title_full_unstemmed | Co-trending a statistical system analysis of economic trends M. Hatanaka ; H. Yamada |
| title_short | Co-trending |
| title_sort | co trending a statistical system analysis of economic trends |
| title_sub | a statistical system analysis of economic trends |
| topic | Co-integratie gtt Econometrische modellen gtt Systeemanalyse gtt Wirtschaft Ökonometrisches Modell Cointegration Econometrics Economic forecasting Statistical methods Wirtschaftsentwicklung (DE-588)4066438-7 gnd Trendanalyse (DE-588)4192224-4 gnd Kointegration (DE-588)4347470-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Co-integratie Econometrische modellen Systeemanalyse Wirtschaft Ökonometrisches Modell Cointegration Econometrics Economic forecasting Statistical methods Wirtschaftsentwicklung Trendanalyse Kointegration Zeitreihenanalyse Japan Economic conditions 1945- Econometric models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010376008&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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