Analysis of integrated and cointegrated time series with R:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
Springer
2006
|
| Series: | Use R!
|
| Subjects: | |
| Online Access: | Klappentext Inhaltsverzeichnis |
| Physical Description: | XI, 139 S. |
| ISBN: | 0387279598 9780387279596 |
Staff View
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Record in the Search Index
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| adam_text | The analysis
the main methodology employed in applied econometrics. This book not only intro¬
duces the readers to this topic, but also enables them to conduct the various unit
root tests and
programming environment R. The book encompasses seasonal unit roots, fractional
integration, coping with structural breaks, and inference in cointegrated vector
autoregressive
to artificial and real data so that it is suitable as a supplementary text for computer
lab classes.
Bernhard
Davis, California; and Freiburg
doctorate degree at the economics department of the last of these, where he was
employed as a research and teaching assistant. He has worked for many years as
economist and quantitative analyst in research departments of financial institutions.
Bernhard
Contents
Part
1
Processes
1.1
1.2
1.3
1.4
Summary
Exercises
2
2.1
2.2
2.3
Summary
Exercises
3
3.1
3.2
3.3
Summary
Exercises
Part II Unit Root Tests
4
4.1
4.2
Contents
4.3 ERS-Test .............................................. 62
4.4 Schmidt-Phillips (SP)-Test............................... 64
4.5 KPSS-Test............................................. 67
Summary
Exercises ...................................................
Further Considerations
5.1
Breaks
5.2
Summary
Exercises
Part III
6
6.1
6.2
Summary
Exercises
7
7.1
7.1.1
7.1.2
7.1.3
7.1.4
7.2
Summary
Exercises
8
8.1
8.2
8.3
9
List of Tables
List of Figures
List of Rcode
References
Contents
Name
Function
Index
|
| adam_txt |
The analysis
the main methodology employed in applied econometrics. This book not only intro¬
duces the readers to this topic, but also enables them to conduct the various unit
root tests and
programming environment R. The book encompasses seasonal unit roots, fractional
integration, coping with structural breaks, and inference in cointegrated vector
autoregressive
to artificial and real data so that it is suitable as a supplementary text for computer
lab classes.
Bernhard
Davis, California; and Freiburg
doctorate degree at the economics department of the last of these, where he was
employed as a research and teaching assistant. He has worked for many years as
economist and quantitative analyst in research departments of financial institutions.
Bernhard
Contents
Part
1
Processes
1.1
1.2
1.3
1.4
Summary
Exercises
2
2.1
2.2
2.3
Summary
Exercises
3
3.1
3.2
3.3
Summary
Exercises
Part II Unit Root Tests
4
4.1
4.2
Contents
4.3 ERS-Test . 62
4.4 Schmidt-Phillips (SP)-Test. 64
4.5 KPSS-Test. 67
Summary
Exercises .
Further Considerations
5.1
Breaks
5.2
Summary
Exercises
Part III
6
6.1
6.2
Summary
Exercises
7
7.1
7.1.1
7.1.2
7.1.3
7.1.4
7.2
Summary
Exercises
8
8.1
8.2
8.3
9
List of Tables
List of Figures
List of Rcode
References
Contents
Name
Function
Index |
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| dewey-full | 330.0151955 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.0151955 |
| dewey-search | 330.0151955 |
| dewey-sort | 3330.0151955 |
| dewey-tens | 330 - Economics |
| discipline | Informatik Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Informatik Mathematik Wirtschaftswissenschaften |
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| illustrated | Not Illustrated |
| index_date | 2024-07-02T13:42:56Z |
| indexdate | 2024-07-09T20:34:12Z |
| institution | BVB |
| isbn | 0387279598 9780387279596 |
| language | English |
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| physical | XI, 139 S. |
| publishDate | 2006 |
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| publisher | Springer |
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| spelling | Pfaff, Bernhard Verfasser (DE-588)13235795X aut Analysis of integrated and cointegrated time series with R Bernhard Pfaff New York, NY Springer 2006 XI, 139 S. txt rdacontent n rdamedia nc rdacarrier Use R! R (Computer program language) Time-series analysis Computer programs Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf R Programm (DE-588)4705956-4 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s R Programm (DE-588)4705956-4 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014586028&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Klappentext Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014586028&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pfaff, Bernhard Analysis of integrated and cointegrated time series with R R (Computer program language) Time-series analysis Computer programs Zeitreihenanalyse (DE-588)4067486-1 gnd R Programm (DE-588)4705956-4 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4705956-4 |
| title | Analysis of integrated and cointegrated time series with R |
| title_auth | Analysis of integrated and cointegrated time series with R |
| title_exact_search | Analysis of integrated and cointegrated time series with R |
| title_exact_search_txtP | Analysis of integrated and cointegrated time series with R |
| title_full | Analysis of integrated and cointegrated time series with R Bernhard Pfaff |
| title_fullStr | Analysis of integrated and cointegrated time series with R Bernhard Pfaff |
| title_full_unstemmed | Analysis of integrated and cointegrated time series with R Bernhard Pfaff |
| title_short | Analysis of integrated and cointegrated time series with R |
| title_sort | analysis of integrated and cointegrated time series with r |
| topic | R (Computer program language) Time-series analysis Computer programs Zeitreihenanalyse (DE-588)4067486-1 gnd R Programm (DE-588)4705956-4 gnd |
| topic_facet | R (Computer program language) Time-series analysis Computer programs Zeitreihenanalyse R Programm |
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