Structural changes in nonstationary time series econometrics: time varying cointegration and modeling catastrophic events
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Saarbrücken
VDM Verl. Müller
2007
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VI, 273 S. graph. Darst. |
| ISBN: | 9783836434270 |
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Datensatz im Suchindex
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| adam_text | CONTENTS LIST OF FIGURES III LIST OF TABLES IV 1 INTRODUCTION 1 1.1 THE
CONCEPT OF COINTEGRATION 2 1.2 STANDARD APPROACH 7 1.3 MOTIVATION FOR
RESEARCH 14 1.4 UNIT ROOTS AND STRUCTURAL CHANGES 17 1.5 HOW THE DATA
MOTIVATES THE PROBLEM 24 1.6 PREVIEW OF RESULTS 30 2 TIME VARYING
COINTEGRATION 32 2.1 DEFINITIONS AND REPRESENTATIONS 33 2.1.1 CHEBISHEV
TIME POLYNOMIALS 33 2.1.2 TIME VARYING ECM REPRESENTATION 34 2.1.3
ALTERNATIVE REPRESENTATIONS 36 2.2 THE TV COINTEGRATING RELATIONSHIP 42
2.3 TEST FOR STANDARD COINTEGRATION 46 2.3.1 ML ESTIMATION AND THE LR
TEST 46 2.3.2 ASYMPTOTIC DISTRIBUTION 49 2.4 SIZE AND POWER OF THE LR
TVC TEST STATISTIC 56 2.4.1 EMPIRICAL SIZE 56 2.4.2 ASYMPTOTIC AND
EMPIRICAL POWER 59 2.5 POWER OF LR TVC AGAINST A MORE GENERAL
ALTERNATIVE 68 2.5.1 REPRESENTATIONS AND DEFINITION OF COINTEGRATION 68
2.5.2 POWER OF LA * 72 2.6 CONCLUDING REMARKS 77 3 THE TIME VARYING
PURCHASING POWER PARITY HYPOTHESIS 79 3.1 PPP HYPOTHESIS AND
COINTEGRATION 79 3.2 A TV PPP MODEL 82 3.2.1 THE TV ECM 82 3.2.2
ESTIMATION AND THE TEST FOR STANDARD COINTEGRATION 83 3.2.3 ASYMPTOTIC
DISTRIBUTION AND EMPIRICAL SIZE OF LR TVC 85 3.3 DATA DESCRIPTION AND
THE RESULTS 89 3. BIBLIOGRAFISCHE INFORMATIONEN
HTTP://D-NB.INFO/991171438 DIGITALISIERT DURCH CONTENTS II 4.3.2 NULL OF
STRUCTURAL CHANGE 130 4.3.3 NULL OF NO STRUCTURAL CHANGE 133 4.3.4
RESCALED VERSIONS OF THE TESTS 137 4.4 ARTIFICIAL DATA ON SPURIOUS
REGRESSION 140 4.5 EMPIRICAL SIZE AND POWER OF THE TESTS FOR DRAMATIC
SHIFTS 147 4.5.1 STRUCTURAL CHANGE 149 4.5.2 NO STRUCTURAL CHANGE 158
4.6 APPLICATION TO DATA SUBJECT TO CATASTROPHIC EVENTS 161 4.6.1 DATA
DESCRIPTION 161 4.6.2 THE RESULTS 172 4.7 CONCLUDING REMARKS 173 5
CONCLUSION AND FUTURE DIRECTIONS 177 APPENDICES A. PROOF OF LEMMAS AND
THEOREMS 195 SOME CONCEPTS IN LIMIT THEORY 195 PROOF OF LEMMA 10 196
PROOF OF LEMMA 11 224 PROOF OF LEMMA 12 225 PROOF OF LEMMA 13 230 PROOF
OF THEOREM 14 237 PROOF OF LEMMA 16 240 PROOF OF LEMMA 18 246 PROOF OF
LEMMA 20 248 PROOF OF THEOREM 21 251 PROOF OF LEMMA 24 254 PROOF OF
THEOREM 25 255 PROOF OF THEOREM 26 258 PROOF OF LEMMA 30 269 B.
ESTIMATION OF THE PARAMETERS IN A STABLE DISTRIBUTION 271
|
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| ctrlnum | (OCoLC)391238552 (DE-599)BVBBV025532191 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV025532191 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:36:00Z |
| institution | BVB |
| isbn | 9783836434270 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020135209 |
| oclc_num | 391238552 |
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| physical | VI, 273 S. graph. Darst. |
| publishDate | 2007 |
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| publisher | VDM Verl. Müller |
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| spelling | Martins, Luís Filipe Verfasser (DE-588)138088969 aut Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events Luís Filipe Farias de Sousa Martins Saarbrücken VDM Verl. Müller 2007 VI, 273 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020135209&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Martins, Luís Filipe Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events |
| title | Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events |
| title_auth | Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events |
| title_exact_search | Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events |
| title_full | Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events Luís Filipe Farias de Sousa Martins |
| title_fullStr | Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events Luís Filipe Farias de Sousa Martins |
| title_full_unstemmed | Structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events Luís Filipe Farias de Sousa Martins |
| title_short | Structural changes in nonstationary time series econometrics |
| title_sort | structural changes in nonstationary time series econometrics time varying cointegration and modeling catastrophic events |
| title_sub | time varying cointegration and modeling catastrophic events |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020135209&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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