Analysis of integrated and cointegrated time series with R:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
Springer
2008
|
| Edition: | second edition |
| Series: | Use R!
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XX, 188 Seiten Diagramme |
| ISBN: | 9780387759661 0387759662 9780387759678 |
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Record in the Search Index
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| adam_text |
Titel: Analysis of integrated and cointegrated time series with R
Autor: Pfaff, Bernhard
Jahr: 2008
Contents
Preface to the Second Edition. vii
Preface. be
List of Tables. xv
List of Figures. xvii
List of R Code. xix
Part I Theoretical Concepts
1 Univariate Analysis of Stationary Time Series. 3
1.1 Characteristics of Time Series. 3
1.2 AR(p) Time Series Process. 6
1.3 MA(g) Time Series Process. 10
1.4 ARMA(p, q) Time Series Process. 14
Summary. 20
Exercises . 21
2 Multivariate Analysis of Stationary Time Series. 23
2.1 Overview. 23
2.2 Vector Autoregressive Models. 23
2.2.1 Specification, Assumptions, and Estimation. 23
2.2.2 Diagnostic Tests . 28
2.2.3 Causality Analysis. 34
2.2.4 Forecasting. 36
2.2.5 Impulse Response Functions . 37
2.2.6 Forecast Error Variance Decomposition. 41
2.3 Structural Vector Autoregressive Models. 43
2.3.1 Specification and Assumptions. 43
xii Contents
2.3.2 Estimation. 44
2.3.3 Impulse Response Functions. 47
2.3.4 Forecast Error Variance Decomposition. 48
Summary. 49
Exercises . 50
3 Non-stationary Time Series. 53
3.1 Trend- versus Difference-Stationary Series. 53
3.2 Unit Root Processes. 55
3.3 Long-Memory Processes. 62
Summary. 70
Exercises . 71
4 Cointegration. 73
4.1 Spurious Regression . 73
4.2 Concept of Cointegration and Error-Correction Models. 75
4.3 Systems of Cointegrated Variables. 78
Summary. 86
Exercises . 86
Part II Unit Root Tests
5 Testing for the Order of Integration. 91
5.1 Dickey-Fuller Test. 91
5.2 Phillips-Perron Test . 94
5.3 Elliott-Rothenberg-Stock Test. 98
5.4 Schmidt-Phillips Test.100
5.5 Kwiatkowski-Phillips-Schmidt-Shin Test.103
Summary.104
Exercises .105
6 Further Considerations.107
6.1 Stable Autoregressive Processes with Structural Breaks.107
6.2 Seasonal Unit Roots.112
Summary.118
Exercises .118
Part III Cointegration
7 Single-Equation Methods.121
7.1 Engle-Granger Two-Step Procedure.121
7.2 Phillips-Ouliaris Method.123
Summary.126
Exercises .127
Contents xiii
8 Multiple-Equation Methods .129
8.1 The Vector Error-Correction Model .129
8.1.1 Specification and Assumptions.129
8.1.2 Determining the Cointegration Rank.130
8.1.3 Testing for Weak Exogenity .134
8.1.4 Testing Restrictions on â.136
8.2 VECM and Structural Shift.143
8.3 The Structural Vector Error-Correction Model.145
Summary.158
Exercises .158
9 Appendix.161
9.1 Time Series Data.161
9.2 Technicalities.162
9.3 CRAN Packages Used .163
10 Abbreviations, Nomenclature, and Symbols.165
References.169
Name Index.177
Function Index.181
Subject Index .185 |
| adam_txt |
Titel: Analysis of integrated and cointegrated time series with R
Autor: Pfaff, Bernhard
Jahr: 2008
Contents
Preface to the Second Edition. vii
Preface. be
List of Tables. xv
List of Figures. xvii
List of R Code. xix
Part I Theoretical Concepts
1 Univariate Analysis of Stationary Time Series. 3
1.1 Characteristics of Time Series. 3
1.2 AR(p) Time Series Process. 6
1.3 MA(g) Time Series Process. 10
1.4 ARMA(p, q) Time Series Process. 14
Summary. 20
Exercises . 21
2 Multivariate Analysis of Stationary Time Series. 23
2.1 Overview. 23
2.2 Vector Autoregressive Models. 23
2.2.1 Specification, Assumptions, and Estimation. 23
2.2.2 Diagnostic Tests . 28
2.2.3 Causality Analysis. 34
2.2.4 Forecasting. 36
2.2.5 Impulse Response Functions . 37
2.2.6 Forecast Error Variance Decomposition. 41
2.3 Structural Vector Autoregressive Models. 43
2.3.1 Specification and Assumptions. 43
xii Contents
2.3.2 Estimation. 44
2.3.3 Impulse Response Functions. 47
2.3.4 Forecast Error Variance Decomposition. 48
Summary. 49
Exercises . 50
3 Non-stationary Time Series. 53
3.1 Trend- versus Difference-Stationary Series. 53
3.2 Unit Root Processes. 55
3.3 Long-Memory Processes. 62
Summary. 70
Exercises . 71
4 Cointegration. 73
4.1 Spurious Regression . 73
4.2 Concept of Cointegration and Error-Correction Models. 75
4.3 Systems of Cointegrated Variables. 78
Summary. 86
Exercises . 86
Part II Unit Root Tests
5 Testing for the Order of Integration. 91
5.1 Dickey-Fuller Test. 91
5.2 Phillips-Perron Test . 94
5.3 Elliott-Rothenberg-Stock Test. 98
5.4 Schmidt-Phillips Test.100
5.5 Kwiatkowski-Phillips-Schmidt-Shin Test.103
Summary.104
Exercises .105
6 Further Considerations.107
6.1 Stable Autoregressive Processes with Structural Breaks.107
6.2 Seasonal Unit Roots.112
Summary.118
Exercises .118
Part III Cointegration
7 Single-Equation Methods.121
7.1 Engle-Granger Two-Step Procedure.121
7.2 Phillips-Ouliaris Method.123
Summary.126
Exercises .127
Contents xiii
8 Multiple-Equation Methods .129
8.1 The Vector Error-Correction Model .129
8.1.1 Specification and Assumptions.129
8.1.2 Determining the Cointegration Rank.130
8.1.3 Testing for Weak Exogenity .134
8.1.4 Testing Restrictions on â.136
8.2 VECM and Structural Shift.143
8.3 The Structural Vector Error-Correction Model.145
Summary.158
Exercises .158
9 Appendix.161
9.1 Time Series Data.161
9.2 Technicalities.162
9.3 CRAN Packages Used .163
10 Abbreviations, Nomenclature, and Symbols.165
References.169
Name Index.177
Function Index.181
Subject Index .185 |
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| spelling | Pfaff, Bernhard (DE-588)13235795X aut Analysis of integrated and cointegrated time series with R Bernhard Pfaff second edition New York, NY Springer 2008 XX, 188 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Use R! R (Computer program language) Time-series analysis Computer programs R Programm (DE-588)4705956-4 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 s R Programm (DE-588)4705956-4 s DE-604 Erscheint auch als Online-Ausgabe 978-0-387-75967-8 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3087654&prov=M&dok_var=1&dok_ext=htm Inhaltstext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016743452&sequence=000002&line_number=0001&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 R Programm (DE-588)4705956-4 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4705956-4 (DE-588)4067486-1 |
| 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 R Programm (DE-588)4705956-4 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | R (Computer program language) Time-series analysis Computer programs R Programm Zeitreihenanalyse |
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